Thanksgiving is only celebrated by Americans living here, eg on air bases etc. It is an American holiday as I think it celebrates the first harvest or something, by the settlers to America.
As to your other point. England, Scotland and Wales are Great Britain. Northern Ireland is governed by Britain, but appears seperately, so at Olympics etc the teams proper name is Great Britain and Northern Ireland. The British Isles is a geographic as opposed to political term and therefore includes England, Scoland, Wales, Northern and Republic of Ireland plus all the other islands such as Hebridies, Orkneys, Isle of Man etc.