Given the fact that at least 100,000 Huguenot (French Calvinists) were killed in Paris alone during the St. Bartholomew's Day Massacre in 1572, and given the fact Queen Elizabeth encouraged Huguenot immigration to the New World (even financing much of it), it would seem that those who escaped France before the Medici terror would have much for which to be thankful.
A good case can be made that French Calvinists, and not the Pilgrims, actually celebrated the first "thanksgiving" in North America. Only the year was 1564, and the location was near Jacksonville, FL. Click here: Op-Ed Contributor - A French Connection - NYTimes.com
But this group of Huguenots' time in the New World was short. They were wiped out by the Spanish ("who were looking for Lutherans to burn and hang") the next year.