Hey Laura!
At this time there is no such feature, and the holidays would have to be manually added. 🙁
The closest thing you can do is to find an iCal feed or CSV file out there on the Internet with all of the bank holiday dates and names…then, you can use the “import” features of The Events Calendar to import CSV files and have those events auto-created. If the file is an iCal feed, then The Events Calendar alone would not be enough and you would need to use the premium iCal Importer plugin to import those events.
I don’t know of any specific reputable sources for this sort of information, but a quick Google search led to me quite a few different results. Here is a page with a downloadable CSV of bank holidays, for example, seemingly a mix of US and UK holidays? → http://www.bluesock.com/bank_holidays_csv.php
I hope this information is helpful!
George