All downhill from there

He's talking to a Native American and in American history the legend goes that thanksgiving was when the pilgrims and native Americans learned to work together and to celebrate after a long harvest had a big meal together. Although this is false because Americans were never fond of Native Americans and that they were always in conflict with each other over land disputes

the part that explains the joke is the fact that the idea was that the settlers where desperate because they didnt know what to grow here, the natives brought them food and gave and helped, and then the rest of history was spent slaughtering them... thus, they celebrated it, that once.