It is because' thank god' is an idiom, that means be pleased and happy. "Thank god, he arrived at time." "Thank god, our exam was postponed , I am not ready yet ." It is not like you are talking to god and thanking him : Thanks, god !

Thank God is correct since it is in an imperative form, without the I or YOU pronoun. I thank God it's Saturday or You thank God it's Saturday. instead of saying I thanks God it's Saturday

It's like saying thank you instead of saying thanks you.