A long-defunct practice, the March-April 1937 edition of the Wheaton Alumni News cites an annual pajama parade that attracted over 350 men (p. 2).
There is also an entry in the April 25, 1908 edition of Harper's Weekly (p. 6) about a "nightgown parade."
"A great deal of fault on one ground or another is found this spring with the young gentlemen in the colleges. A Chicago dispatch says that the overmodest inhabitants of Wheaton (Illinois) are disgruntled and making trouble because the Wheaton College students held a nightgown parade to celebrate Wheaton's victory over Greenville in the oratorical contest. Gracious! Here in the athletics-ridden East any college would be far too pleased to have that much notice taken of an oratorical contest to make any fuss about nightshirts."