In the first act of Samuel Beckett's play Happy Days, the protagonist Winnie is buried up to her waist in a mound; by the second and final act, she is buried up to her neck. Yet, in both acts, she persists in finding meaning in her life through her minimal interactions with her husband Willie and her daily mundane activities, such as brushing her teeth, taking tonic, putting on a hat, and brushing her hair. In her efforts to find meaning in her life, she dubs every little thing she does as making her "happy," frequently dubs her days as happy days, and frequently says she's thankful.
It is on page 45 that we find the line in question--"Thankful for it in any case .. most thankful"--and the "it" is most definitely a bit ambiguous. The previous thing Winnie had been speaking of is was the fantasy of her husband saying "I'd dig her out with my bare hands." She next comments on how strange it would be for her to think of being dug out and of "man and--wife" going away "hand in hand." She says it is strange of her to think of such a thing at a "time like this." She next comments, "No, here all is strange," followed by the line in question. Hence, grammatically speaking, the pronoun "it" can only be refering to the noun "strange" since pronouns must refer to the noun that comes immediately before them. Therefore, one might conclude she is thankful for the strangeness of her situation. We might even infer she's saying she is thankful for being stuck in the mound.
For Winnie, every little thing is something to be grateful for in order to find meaning in her troublesome, entrapped life. By being grateful for the strangeness of her situation of being trapped in a mound, she is trying to find meaning in her situation, trying to gain knowledge and develop as a person.