It is fine to be thankful for this country and for the many blessings we enjoy because we're citizens of it. But we will all cease living in America someday and spend eternity somewhere else. So, in the end, it matters only if we are citizens of heaven, and only Jesus Christ can "naturalize" us for that citizenship.
The pilgrims and founders understood a link between freedom of religion and other freedoms. There is a connection between lack of religious freedom in the Islamic world and the poverty and hopelessness that is also there.
So, ultimately as we gather in our homes or someone else's home -- even if we are alone -- we can give thanks to God, not only for His material blessings, which will pass away, but for His Son who came that we might not pass away. It is that for which we should be truly thankful.