Ok, the above posts gave me a pretty good laugh.
Yes, I went to
Atlantis. In the Bahamas. One of my dad's friends was having his 40th birthday and was staying down there, so we went and visited for a few days. We stayed at the Atlantis resort.
Now, if there were actual mermaids/other things involved, that would be pretty awesome too.
I looked up the date of the parade, and it turns out it did happen while I was down there.
Mystery solved.