Here she comes in her palanquinI'm a big fan of the Decemberists, but I sometimes suspect that frontman Colin Meloy pens his songs with one hand on a piano, the other on a thesaurus. Her palanquin? What the heck is a palanquin?
on the back of an elephant
on a bed made of linen and sequins and silk...
The Infanta by The Decemberists
It's pretty clear from the context of the rest of the verse that a palanquin is something like an elaborate saddle for riding atop an animal. Yet, the real magic of the internet is that you only wonder these things for a moment now — before you turn to Wikipedia and get the (collectively created) answer.
Yes, a palanquin can be a small cabin supported by one or more animals...
...however, it can also be such a cabin supported by one or more people, as you've certainly seen in movies.
There's something astonishingly servile about a palanquin (or litter or sedan chair, as these contraptions are also known) when carried by other people. In many/most cases, the people riding in the palanquin could just as easily be walking; however, the dictates of society mean that they get to ride, borne quite literally on the backs of the less socially favored.
This menial, servile past was brought closer to home for me when I learned that Ben Franklin, afflicted by the gout and unable to ride a horse to the Constitutional Convention, was carried to the convention in his sedan chair. Franklin was borne by four convicts, and their appearance is partially captured in the painting below: