This is pure myth--part of the "New England-centric" mythic history of the United States. Them boys up in Massachusselly did a hell of a job of making it all about themselves.
The victory of Meade's army over Lee's army at Gettysburg was a watershed in the course of the war. Even though the handwriting was already on the wall for the South, thanks to the uniformly successful campaigning in what was known as the West--the focus of political discourse was on the East, and the Gettysburg victory was a great relief to Lincoln, who would face a tough re-election campaign in the following year. In October of that year, he issued his day of thanksgiving proclamation, and it has been observed ever since. It was a wise political move, and, for once, the politics were forgotten, and have been replaced by a sincere and devout love of overeating and televised football.