There were many large "tickertape parades" before the 1940s, but "Avenue of Heroes" and "Canyon of Heroes" seem to both come in the 1940s.
"Avenue of Heroes" is Fifth Avenue, and it was called this during and after World War II.
FIFTH AVE. BECOMES
"AVENUE OF HEROES
Portrais of 103 War Figures
on Display in Windows
Fifth Avenue between Thirty-fourth and Fifty-ninth Streets became the "USO Avenue of Heroes" yesterday afternoon when portrait posters pf 103 war heroes went on display in shop windows as a tribute of the American people to the members of the nation's armed forces.
19 June 1945, Lowell (Mass.) Sun, pg. 1, col. 1:
An hour before the Eisenhower procession was due to move down Fifth avenue police estimated that a million and a half people had lined the famous avenue of heroes, forming a solid wall of humanity that stretched back nearly a block at some intersections/
12 January 1946, New York Herald Tribune, pg. 1, cols. 3-7 headline:
82nd Swings Up Avenue Of Heroes in Battle Regalia
"Canyon of Heroes" is a later term and is usually reserved for when the parades go up lower Broadway, not Fifth Avenue. After all, Fifth Avenue is an Avenue, but Broadway is Broadway. However, "Canyon of Heroes" does first appear where "Avenue of Heroes" is also used.
14 September 1945, Bradford (PA) Era, pg. 4, cols. 5-6:
6 Millions Cheer Wainwright
In New Yoirk's Canyon of Heroes

