Found it! :) For our third book we read, The Real 12 Days of Christmas by Helen Haidle, illustrated by Celeste Henriquez.
The Real 12 Days of Christmas takes the familiar Christmas carol and shows how you can incorporate all the "days" into the basic elements of the Christian faith. Each line of the song is represented, followed by an explanation of how each present fits into the Christian faith with a verse that corresponds with the tenet being represented. In the back of the book there is a historical look at Christmas Celebrations and Traditions along with some background information on the when the first Christmas celebration was officially recognized there are ideas for how to make this season one of giving and sharing.
The illustrations in this book are beautiful and my kids enjoy singing along as I read.