Well, wikipedia mentions May 1 as the celebration of Saint Walpurga canonization.
Bonfires and dancing are characterisations of those celebrations.
Saint Walpurga was an evangelist, but other than being the first female author for Germany and England, it does not seem I can get data that would fit with the anime.

I guess that the dancing and bonfire night is a time when witches/magical girls and familiars have a very different behavior for some yet unknown reasons.