Have you never heard of the line crossing ceremony (crossing the equator). Do a search for crossing the equator for such navies as Canada, Australia, UK etc. Someone has to dress up as the female characters in the ceremony. Also there is a long tradition of costume dress. In my time in the forces I’ve seen plenty of US Navy dressed up in all manner of costume party gear while out on shore leave.
Never crossed my mind, but of course now that you mention it...