Never, not that I can remember at all.
My family and a small group of JWs from our congregation went to Brooklyn on Thanksgiving Day once. I can't remember anything about the trip, except for when we went out for lunch to a local diner. I think that was the only highlight of that day.
When I lived in Venezuela, the witnesses there did not even attempt to go out on Christmas Day or New Year's. It was pretty dangerous for one but even so the witnesses there seemed more "in tune" with the holidays; meetings were called off during those 2 weeks and no one was marked or criticized for going to a party with non-JW relatives. The JWs there were pretty laid back.