A better term would be “developing nations” . The term " third world" refers to not being part of NATO (or not aligned to NATO), and is outdated. Also, there are various sorts of developing countries, richer, poorer, and some are war or conflict zones.
The Xmas tree probably originates from the Nordic" Tree of life ". I remember reading it was used to celebrate life and the return of light during the dark cold winters in the north
To celebrate and remember the return of the sun in the dark Winter, lights were used to chase away the dark; green as a symbol of returning life, like vegetation and plants, and red probably symbolises fruit and harvest.
There are several versions and interpretations, so it probably depends on the country or region the tree was used, and in which century.
Santa Claus ( yes, created in USA by Coca-Cola), was /is originally Saint Nicolaus, which in turn was probably merged with Wodan This is the same God as in Wednes-day ( was originally Wodan’s day, a Nordic God; just like Thursday, was originally Thor’s day ).
Many old Germanic/Nordic religions ( they were very similar) were integrated with Christian symbolism and rituals by the Roman Catholic Church.
Check this link for more general info.
Also because of the ancient Dark versus Light theme, there is definitely an association with the Wild Hunt
In the Norse myths, the original leader of the hunt was the god Odin, known in Germanic myth as Wodan. Odin rode his eight-legged horse, called Sleipnir. His company of hunters were the Valkyries and the dead warriors who resided with him in Valhalla.
The gifts placed in the Christmas trees have also an association as an offering / gift " to forefathers who fell as warriors, and or offering to “the wild hunt” and it’s phantoms, as a sort of guarantee you wouldn’t invoke their wrath and be taken by them to the phantom realm.
Saint Nicolaus in it’s older manifestation had a stronger dark and light side. His demons where probably black or dark, like we see in Austria, Kruppe and Black Pete in the Netherlands/ Flanders region.