I am sure there are some independent Italian restaurants that must offer a Thanksgiving meal. All I ever receive via email is from the big hotels though. This year as usual the Westin Excelsior has a dinner, and so does the Four Seasons, which is 90 euro per person, plus wine. I think the Four Seasons meal was at night and fairly late - the Westin is during lunch hours and is 40 euro.
Update: see also the St. Regis Thanksgiving dinner (below the first image).
