Today is Thanksgiving - happy Thanksgiving! And a month from now, it will be a (hopefully) merry Christmas. It strikes me that merry and happy are not interchangeable between holidays. It would sound odd to most to be wished a happy Christmas or a merry Thanksgiving. Why? The two words are more or less synonymous. It's my guess that the word pairings are based on euphony but there is some etymological appropriateness to the terms also.
Americans grow up with a historical romance surrounding Thanksgiving: the pilgrims fled cruel religious oppression in England, endured hardships and starvation in the new world, and were rescued by the kindness of neighboring natives. Elementary school students hear this story, which is the truth told in a simplified glossy way, while making hand turkeys and writing lists of what they are thankful for. The Thanksgiving narrative squares with the meaning of happy - chancy, lucky, felicitous, fortunate - and so is appropriate to this holiday celebrating historical fortune and present luck.
Merry, despite unsubstantiated claims that it once meant mighty (see Robin Hood's Merry Men and God Rest Ye Merry, Gentlemen), means pleasant or pleasure producing. This is straightforwards enough, no need to belabor the word, though I like the idea of having a mighty Christmas. And to make you merry and happy on this Thanksgiving morning, I give you this Thanksgiving turducken: