I'm sure you could fairly easily find a Thanksgiving event in London, but I never miss an opportunity to plug the group I'm in.
We are in Salisbury, and will be renting a hall this year for Thanksgiving (the 29th, to be precise). If you're after a lovely bunch of expats to spend the holiday with and don't mind a bit of a train journey, we are always happy for fellow expats to join in. I, myself, moved to the UK a couple weeks before Thanksgiving and spent the day alone, on the couch, in my PJs. I can relate.
Again, I'm sure there are plenty of events going on in London, but my offer will stand. I hope you are able to find a way to celebrate with others.
