Why is pumpkin pie associated with Thanksgiving?
It was probably not until 1796 when Amelia Simmons cookbook "American Cookery" was published. It was the first American cookbook written and published in America, and the first cook book that developed recipes for foods native to America. Her pumpkin puddings were later baked in a crust and similar to present day pumpkin pies because of the references to pumpkins (not pies) by the pilgrims of Plymouth. Pumpkin pie was not really pumpkin pie back then. It was known the first settlers complained about the lack of flavor in pumpkin offered by the natives who simply roasted the squash in the ashes of a fire and ate it. To make the gourd more palatable it is likely the pilgrims cut the top off the pumpkin, added milk (when available) honey and spices. They would then simply roast the whole thing beside the fire and scoop out the pulp.
Turkey and stuffing/dressing, sweet potato casserole, and cranberry sauce are associated almost exclusively with Thanksgiving. The other sides such as green bean casserole, macaroni and cheese, cider, pumpkin pie, and sweet potato pie could be had with most any other holiday feast. turkey is eaten in thanksgiving.
If that is the traditional dessert at your house then yes. People can maintain a family tradition or change it as they like. If pumpkin pie is not your favorite dessert then you can always replace it with something more to your liking such as apple or rhubarb. There really are no "pumpkin pie police" waiting to arrest you if you fail to serve pumpkin pie on Thanksgiving.