I first saw it in a lyric in the song "Who are You" by Tom Waits:
Are you still leaving nothing but bones in the way?
Did you bury the carnival, with the lions and all?
At first glance it seems like a turn of phrase Waits coined himself. But I found a few uses on Google books, as far back as 1883, that seem to carry a similar meaning:
On the first day of Lent Barcelona marches out into the country to bury the Carnival, and then the inhabitants, having taken their fill of pleasure...
- The Spanish Reformers Their Memories and Dwelling-places By John Stoughton, 1883
The last party was given by H.I.H. the Grand Duchess Marie of Leuchtenberg, 'to bury the Carnival,' as the Russians said. Dancing commenced at three o'clock
- Reminiscences of Court and Diplomatic Life, Volume 1 By baroness Georgiana Liddell Bloomfield
Shrove Tuesday is also called Violet Tuesday, but internationally it is also known as Pancake Tuesday or Mardi Gras. This day is the end of carnival. There are many different rituals to finish the carnival. In some parts of Germany the people “bury” the carnival.
Apart from that, I can't find any information about this phrase. So if Tom Waits didn't coin the phrase, then where did it come from?