If I work my 40 hours week and asked to work Thanksgiving day, should that day be considered as overtime pay?

It depends.  The law requires employers to pay overtime to hourly employees for all hours over 40 worked in a single "work week".  If your regularly scheduled "work week" is Monday through Friday, and you have already worked 40 hours before Thanksgiving Thursday, you would be entitled to overtime pay for working each hour beyond 40, including Thanksgiving day.  If, however, your regularly scheduled "work week" is something other than the traditional Monday through Friday, you would need to have worked 40 hours in your regular work week before being entitled to overtime for Thanksgiving day.