EMILY: Yes, it is Thanksgiving. And before you sift through the dozen or so excuses you always have on hand, let me have my say. You’ve missed two dinners and avoided my calls because you’re mad at us about what happened at Yale. But I want you and Rory at Thanksgiving this year.
We learn that this episode takes place more than two weeks after “Let the Games Begin”, and that Lorelai has been so angry with Richard over the Yale interview that she has refused to attend two Friday Night Dinners in a row.
Because Emily says, “I want you and Rory at Thanksgiving this year”, it implies that they don’t usually go to Thanksgiving dinner with Lorelai’s parents. The episode strongly implies that they usually spend Thanksgiving in Stars Hollow, dividing their time between Lane’s, Sookie’s, and Luke’s.
The Annotated Gilmore Girls 