This is very tentative but I think it may be the musical 'Oklahoma' rather than the place; there's a reference to them going to see the musical 'Les Miserables' which is shortened to 'Les Mis'. I had the mental image of their parents dancing away in their local theatre group's performance and being hauled out because Sherlock was in trouble...

I think he referred to the state, not the musical. Why would you phone your parents from a musical? I think they were on holiday and Mycroft just informed them of what happened. 

And this ties in with them watching Les Mis.

silverblaze wrote:

Then it wouldn't make any grammatical sense, right? You don't say you're in a musical when you're in the audience. You'd say 'I'm at Oklahoma.' So when they're in Oklahoma, it must be the state. 

But his parents weren't in the audience; they were taking part, hence the reference to their line dancing.

It's not unusual for local amateur dramatic societies to put on shows in England; it may simply be that you are not accustomed to this in your country. But we English are strange, and we do things like that 
 

Oh, right, I didn't know that. 

Wiggins wrote:

I'm thinking they were mine dancing in OK. They're portrayed as eccentric and it seems totally the vacation for them.

Lived in Missouri near Oklahoma and line dancing is big there.

Actually, mine dancing sounds pretty scary; do they have to navigate the course, before they get blown up, to finish successfully? Could be it's the new exciting game at the next Olympics...
 

I thought Mycroft was talking about the geographical location.  Sherlock's parents seem to like to have a lot of fun together doing things that Sherlock and Mycroft find dull or ordinary. Their parents are adorable.
maybe it was my imagination, but there did seem to be references to the other work Martin and Benedict have done in series 3.  Mycroft referring to Sherlock as the Dragon slayer (Smaug), John going to the Bathroom during the stag night reminded me of Oliver's last human scene in The World's End.  The information gathering CAM did reminded me of a twisted Assange in the Fifth Estate for some reason.  His parents being in Oklahoma could have been a subtle reference to August: Osage County.  There was also the Star Trek reference in series 2 (HoB) When John calls Sherlock "Spock" after he quotes Spock who was quoting the Doyle canon (an Sherlock used the same quote in series 3).  And in ASIB Sherlock refers to John as his short friend (Bilbo).  Though, I'm probably imagining things.