No, it had nothing to do with puritans or even what was to become present Day New England. According to the fine folks over at Historical Text Archives, it took place in April of 1598 close to what is now El Paso Texas.
On April 21, 1598, the exhausted expedition reached the banks of the Rio Bravo where they set up camp near the present day San Elizario, Texas. They soon found their scouts who had arrived several days earlier, and Oñate sent them out to find a place where the expedition could ford the Rio Bravo and cross into Nuevo Mexico. They traveled upriver to present day El Paso where they found a village of Indians they named “Mansos” and who they befriended with gifts of clothing.
Safe and grateful for the expedition’s deliverance from the extreme hardships of the journey, Oñate ordered that the travelers construct a church with a nave large enough to hold the entire camp. Inside the church, on April 30, 1598, the first Thanksgiving celebration of European colonists in the New World was held. The Oñate expedition and their Manso guests celebrated their April 30th Thanksgiving with a feast of fish, “many cranes, ducks and geese”, and supplies from their stores.
Hmmmm…I could get down with a Thanksgiving Holiday in April.
via Food Museum Blog