When there’s a vegan or vegetarian at a group dinner where everyone has the same dining options, it can potentially be an unpleasant experience for everyone involved. If they’re the type of person who expects the world to bend to their every whim, they may demand that special dishes are made for them. If not, they may end up just picking at vegetables all night. There’s a middle ground, but it may take a little planning if there will be one at your Thanksgiving dinner.
First, if you’re hosting Thanksgiving and you know a vegan is attending, reach out to them ahead of time and ask what exactly they can and can’t eat (there's also no harm in asking all of your guests about their dietary preferences while you’re still menu-planning). It’s certainly not rude to ask them if they’d like to bring a dish that they’re able to eat, and if it’s not too much trouble you can prepare a separate version of the non-vegan side dishes with some tweaks, like vegetable stock in the dressing. They’re obviously not going to be eating turkey, so it’ll be all about the sides for them — make sure that there’s something other than green beans.
If a vegan shows up unannounced, then there’s really not much you can do except point out what has animal products in it and what doesn’t. If you were given no notice, it’s not up to you to go out of your way to make them happy. That said, there is no need to be rude; it goes without saying that talking about how you could never imagine giving up bacon or interrogating them about their protein and vitamin intake will not improve the festive mood.