On Twelfth Night, Grammy-winning Jon Cleary & The Absolute Monster Gentlemen released “Zulu Coconuts,” a new Mardi Gras song. We sat down in Bywater to talk about the tune, Carnival perennials, and how the ultimate connection between Mardi Gras music and Afro-Caribbean roots mirrors Cleary’s own musical passions.

Cleary’s origin story for the song is the perfect analogy for Mardi Gras. He explained, “T...