I think, fundamentally, the underlying meaning is the same. The difference is in the emphasis and softening a rebuke in this example, perhaps.
“You know that we have pizza on Thursdays, right?” - is almost a rebuke (without context it sounds that way at least). It is the fact that is significant here - a point is being addressed.
“You know how we have pizza on Thursdays, right?” sounds more like either an excuse is coming or a change of plan. ‘That’ could also signify the change of plan, but it is then more formal/significant.
Whereas dropping the conjunction, “You know we have pizza on Thursdays, right?” sounds more like a mild rebuke, or perhaps a memory jog.
To me, without context, this is what I hear...
“You know that we have pizza on Thursdays, right? Well, in comes Bob with Chinese takeaway. On a Thursday!”
“You know how we have pizza on Thursdays, right? Well, for a change I thought we’d try that new Italian rather than The Hut”
“Your mum is coming on Thursday? You know we have pizza on Thursdays, right?”