Why is Thanksgiving always on a Thursday?

Because it’s on the colander 

Mainly tradition but also because it gives a day after to start the Christmas holiday season with shopping.  

TRADITION?  Its on the closest Thursday to the 30th of November every year. 

because it starts with the letter T

It isn't.  In Canada, it is on a Monday.

So we can have a 4 day weekend 

It's a fairly effective way to welcome the holiday season, with a 4 day Thursday through Sunday weekend.

An understanding of the house wives work week in earlier times needs to be noted and might have a bearing on the subject. Each day had a specific set of work items to be accomplished. For example Monday was laundry day.

So to get a big dinner ready required working in extra items that could be prepared after Sunday (often a day of rest) and not go bad before the end of the week. Which meant Thursday would work out if the family all pitched in and did a little extra so the special dishes could be prepared.

It needs to be remembered that there was no hot water faucet in the kitchen. Water had to be hand carried from the well. Flour had to be ground and many other little things that we can just buy off the self had to be prepared from scratch.

This left Friday and Saturday to clean up and get done what had to be done before the next Sunday rolled around which was a "holy day" to much of the civilized portion of the present day USA.

Having it on a Thursday is simply a tradition, the reasons for which are unknown in our modern day. The first call for a day of thanksgiving was by President Washington in 1789. As another poster rightly stated Lincoln made it a yearly official holiday in 1863. In 1941 it was further changed from the last Thursday in November to the fourth Thursday in the month, since retailers didnt like it on the odd year when November had five Thursdays. 

Abraham Lincoln's proclamation in 1863 designated the national day of Thanksgiving to be the last Thursday of November.

Thursday was mostly just tradition before that.