Yep, the Mardi Gras parade is only at USO.
The time frame for Mardi Gras is as follows:
With an 8:00pm Theme Park Close:
The party kicks off at 4:45pm
At approx. 6:45pm the first band performs
At 8:00pm the Parade begins
At approx. 8:30pm the second band performs
With a 9:00pm Theme Park Close:
The party kicks off at 5:45pm
At approx. 7:45pm the first band performs
At 9:00pm the Parade begins
At approx. 9:30pm the second band performs
Do you remember where The Boneyard was at USO? I can't remember its exact location right now.

However, The Boneyard is now The Yard and I believe that's where the bands play.
I wish I could see Cyndi Lauper again. I saw her like 12 years ago in Hollywood and met her on the set of Vibes, she was great!

Have fun!