Math: Color by numbers sheets are always a great way to give a theme to math class. For the younger grades, this would be done with smaller numbers and as the grade level increases so does the difficulty. For example, in mid-elementary multiple areas to be colored orange "=11" may be written as "4+7" or "9+2," and in upper elementary utilize multiplication and division rather than addition. Alternatively, Thanksgiving-themed word problems are a great option.
Reading: This one is pretty simple; there are tons of books between all grade levels that focus on thankfulness.
Music: There are a couple of ways to go with this subject. If they are learning instruments you could have them learn a short piece about Thanksgiving. If you want to go in a different direction there is also music analysis or, for the younger kids, keeping the beat.
Physical Education: There are so many fun activities for kids to play in the gym. My favorite would have to be turkey tag which is regular tag but if you get tagged you squat down and flap your elbows like a turkey.
Writing: There are so many things you could have your students write but my suggestion would be write for 3 minutes a list of things you're thankful for. Afterwards, they can choose one thing to write about for the rest of the time.
Science: With science, you could easily go the turkey biology route. Another option, however, building popsicle stick boats or qualitative investigation activities are other great options for younger kids.
History: There is so much history behind Thanksgiving and although many of us know the story of the pilgrims, the kids may enjoy finding all kinds of information that would be new to them. You can provide books or websites for them to research.
Art: Between hand turkeys, construction paper turkeys, drawing pilgrim hats and so many other great options art is a great subject to get kids excited about Thanksgiving!