I have a vague memory of Underdog’s forearm deflating one year, but don’t recall any other balloon disasters this dire:
During one of the first [Macy’s] Thanksgiving Day Parades, organizers thought it would be a good idea to end the festivities by letting go of the ropes and watching the balloons fly away. As they rose into the sky, most of them popped from the air pressure, leaving dozens of children stunned and saddened watching their favorite cartoons blow up in front of them.
This is a photo from the second parade in 1928. Not sure if that’s the parade when the balloons were released and I don’t know who the character in front is. His costume looks a little Arabian Nights-ish so maybe he’s that era’s Aladdin.
For more balloon calamities, see Neil Vazquez’s post, Most Memorable Balloon Disasters From the Macy's Day Parade, at Do You Remember.
Speaking of Underdog, Esquire’s John Hendrickson must have been frightened by him when he was a kid, because he includes him as one of the scariest balloons in the parade’s history. See the slideshow: The Macy’s Thanksgiving Day Parade Was Once Vaguely Terrifying.
By the way, Hendrickson thinks the Aladdin character might have been intended to be the comedian Eddie Cantor. Could be, but I think that changes the date of the photo. Vazquez has it as 1928. Hendrickson says 1934. But Cantor starred in a movie called Ali Babba Goes to Town in 1937.