Two ways to make this happen according to this Apple Discussions thread.
1. “On your iPad, go to Settings > Mail, Contacts, Calendars.
Under Accounts, tap Add Account
Tap Other, and under Calendars, tap Add Subscribed Calendar
In the Server box, type http://ical.mac.com/ical/US32Holidays.ics
Tap the next button, and when the subscription box appears, tap the save button. No other entries are required.
Open the Calendar app and tap the Calendars button at the top left. You’ll find your new holiday calendar at the bottom of the list under “Subscribed”.
To unsubscribe, go back to Settings > Mail, Contacts, Calendars. Tap US Holidays Calendar under Accounts, tap the red “delete account” and tap “Delete”.”
2. Or padman suggests “I got the same thing…so I called apple help and they told me to go to safari, then type inhttp://www.apple.com/downloads/macosx/calendars/
then I went to staff pics on the top bar, then scrolled down to find the us calendars download. Looks like there are lots of cool downloads out here. “