Thanksgiving may have a relation with Judaism and Noahidism, but is esentially Crhistian. It has nothing to do with the prophesy about Gentiles' pilgrimage to Jerusalem in future.
So Jews may celebrate only the REAL Sukkot according to the Halacha, and Noahdes may remember Sukkot and take a holiday on that days, without the ritual rest.
Baptism has also its origin in a the Jewish Mikvah. But it is not Jewish. Would a Jew get baptized?