"Thankfully Dead (Cozy Baked Mystery #3)" by Kate Bell/Kathleen Suzette has a bit of Thanksgiving for the first couple chapters then moves on to the mystery. Just a heads up, it does involve a shooting at a public event (A Turkey Trot Run). Some may find that hard to read, though it's only descriptions are of the sound and the murder victim getting hit.
The mystery solving got a little frustrating at parts. The main character was a bit oblivious to her rudeness at time, actively wondering why people were being rude back to her when she wasn't getting it that she overstayed her welcome. Other times blatantly telling her cop boyfriend she'd was going to ignore his request to stay out of things. She pretty much annoyed the killer into coming after her. Who, turned out to be exactly who I thought it would be.
If you're looking for a quick, Thanksgiving cozy mystery, this book will do for that. Maybe not a series I personally will read very quickly.