Even Protestant churches preserving Roman Catholic religious holidays do just that: Preserve Roman Catholic religious traditions inherited from before the Reformation. In the case of the Pilgrims (who essentially protested a Protestant church by leaving it) commencing Thanksgiving in America, that does not really apply, but its inception was no less religious for that. Though, to the extent the traditional Thanksgiving origin story is reliable, it is odd pilgrims who left their church and native country because they felt their neighbors insufficiently Christian nonetheless initiated Thanksgiving by inviting pagans to a religious feast.

Nonetheless, religion and organized religion are not synonymous (particularly in the US.) From our origin we justly lionized national heroes who habitually and publicly declared themselves deeply religious but repulsed by churches. Thus they also from our origin recognized a day of religious thanksgiving distinct from any church(es.)