This centers around Danny thinking he is adopted because no one can find his birth certificate. Earlier in the season, when Danny was drafted into the Army his mother had a copy of his birth certificate then.
When the family plays at the end of the episode at a local venue, it is clearly the same stage and performance from an earlier episode (S1, E15) when they were playing in Europe - the exact same clip was recycled.
Danny says he must be adopted because he is the only red-head in the family; however, Tracy (Suzanne Crough) also has red hair.