Thanksgiving Day Brunch
If you and the crew are up for a trip east on the 101, Blue Sage at the Desert Ridge Marriott might work. It looks like they are doing a Thanksgiving breakfast/brunch buffet that transitions to lunch/dinner fare at 2pm. At any rate, it would probably be a good idea to call first to get a more detailed description of what they are doing that day. Their Thanksgiving menu is online here:
Blue Sage @ JW Marriott Desert Ridge Resort & Spa
5350 East Marriott Drive, Phoenix, AZ 85054
I have absolutely no idea how good these restaurants are but I did a quick search on OpenTable and found Vogue Bistro and Arrowhead Grill are both open. Vogue Bistro is $34.95 a person while Arrowhead Grill is $50 a person. Vogue Bistro's menu is also online but I don't see Arrowhead Grill's on their website.
Also, I'm not sure if you're OK with a chain or not but I know Mimi's Cafe is open for Thanksgiving, which is definitely reasonably priced and I have to say I love their french onion soup.
8280 West Union Hills Road, Glendale, AZ 85308
15411 West Waddell Rd., Ste 108, Surprise, AZ 85379