Conan O’Brien and his family were out to dinner in Santa Monica last year when his daughter began to screech, “Oh my God! Oh my God! Oh my God!”

“I thought a Cessna had just plowed into the sidewalk and burst into flames,” the late-night TV host recalls. “Then my son started to freak out and he was like, ‘They’re crossing the street! They’re crossing the street!’”

The...