Obviously the word "thanksgiving" doesn't simply refer to the holiday, but like 99.6% of iPhone users (made-up statistic), every single use of the word in my iMessages is in reference to the holiday.
Anyway, I set up a text replacement years ago, to auto-capitalize Thanksgiving. Also proper names like Bill and Sue (for those, I just add a letter - "bill" is lower case and "billl" autocorrects to Bill. Easy enough.