In a serial FX loop, the signal is intercepted when you plug into the FX Send jack and is routed through your effects. The signal is injected back into the amplifier at the FX Return jack. The jacks are specially-constructed jacks that incorporate an extra set of contacts that as act a switch when the cable is inserted and removed. Consequently, with no cables inserted into the jacks, the signal just passes from preamp to the power amp section. This explains why there is no mix control with a series loop. You either have your effects in the loop, or you don't. Incidentally, series loops are the most common.
In a parallel FX Loop there is extra circuitry involved. As suggested earlier by others, there are two paths in a parallel loop. One is your "dry" guitar signal as it passes from preamp to power amp. The other path connects to the FX Send and FX Return jacks on the amplifier. This, of course, is where you connect your external effects. This signal path is the "wet" signal. The "mix" control essentially is a blend control that determines how much of the wet and dry signal you want to use. Theoretically, a mix control that is maxed out to the wet signal would effectively accomplish the same audible result as a series FX loop. However, the real result of using the mix control will depend on how the amp builder has designed the circuitry.
I've never used a parallel loop, though the idea does seem interesting.