The first thanksgiving proclamation was issued by Geo. Washington, in which he called on Americans to pray. Like virtually all pols, George wanted to be a religious figure too. But his call to thanksgiving for a wonderful government (and president) fell flat in those freer days. The proclamation that stuck was from Lincoln during his war on dissenting Southerners and Northerners. Abe's edict had three purposes: to cement Abe as a religious figure; to have Yankees thank God for him, his war, and his government; and to erase the memory of the earlier thanksgivings by the Spanish in Florida and the English in Virginia, to make it seem as if America were founded in Massachusetts. As for me, I will give thanks tomorrow that I am an anarcho-capitalist and do not worship the emperor nor the empire.

UPDATE from John Seiler:

Your non-celebration of Lincoln's government holiday reminds me of Mencken's quip, "It's too bad Plymouth Rock didn't land on the Puritans."