The Canyon of Heroes is not in fact a Canyon, nor is it full of heroes: well, not all the time that is.
The Canyon of Heroes is part of the route that traditionally ticker tape parades have taken through the City. The route, including that Canyon of Heroes, usually starts at Battery Place, then goes up Broadway towards Chambers Street and then to City Hall.
The heroes part is of course not just for the Yankees who will take this route on Friday starting at 11 am. This is also the same route that was taken by returning astronauts, just to give an example of other heroes who have been through the canyon.
Oh, and of course, Manhattan doesn't actually have canyons, the reference is to the way that the skyscrapers feel like, when you're at ground level, you're in a canyon. The heroes of course are also made, not natural, which is why the City welcomes them with such parades.