Thanksgiving ghost stories are disappointingly scarce, but I did find this brief, but enticing example in the “Salt Lake Telegram,” December 4, 1902:
GENEVA, NY., Dec 4--As the southbound train on the Lehigh Valley was approaching Marsh Creek the engineer and fireman heard a sharp scream ahead. They saw a tall, white-robed figure standing at the east side of the bridge frantically waving its arms. The engineer brought the train to a standstill. As he did so the specter gave another shriek and disappeared.
An investigation of the track and bridge disclosed no trace of the mysterious figure, but as the train passed over the bridge the same shriek was heard. It was learned that every year about Thanksgiving day the figure appears. A fireman once lost his life in the quicksand there when an engine went off Marsh bridge and the body never was recovered.