Anytime you go up to a character (IF or human) in the game and talk to them, or any dialog after your favors are completed, it's all just pre-programmed chatter. The only time you are talking to someone and it 'matters' is when they have the i bubble over their head. They are usually asking you for something or giving you something, involving a favor or adventure, or indicating they are the person you give/ask. After you complete the favor, anything said after that (the thanks part) is just pre-programmed and usually random.
So, no, there is no Thanksgiving dinner thing that they are referring to, specifically. It's just random chit-chat after a favor is complete. I think there may have been an adventure a long while back involving Thanksgiving, I just can't remember off the top of my head, but it's totally unrelated to your favor.
Hope that helps!
~Vicks
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