The Lions played the first Thanksgiving game in 1934 and just kept it. They actually were one of the top and most popular teams back then.
The Cowboys have had it since 1966 when they took it away from the Chiefs in the AFL/NFL merger and it was almost taken away from them in '89 because some people thought they'd hurt ratings because they were so bad.
Commissioner Tagliabue kept it though.
Why these two cities? Tradition. I couldn't find a specific answer but here are some details:
Detroit Lions Site: Ask Detroitlions.com: Thanksgiving Day Traditions