After touring the US during Prohibition, he wanted to give thanks for the removal of those "dour Puritans" from England.
From Int. Takeout:
When back home in England, Chesterton’s objections gave way to thanks. That would be thankfulness that his country had not taken a similar step. In fact, it was this very sense of thankfulness that led him to propose a Thanksgiving Day for England. It would be a day to “celebrate the departure of those dour Puritans, the Pilgrim fathers.”