The Headband - S3-E2
Continuity mistake: When Zuko and Mai are having a picnic, Azula asks Zuko if she can have a word with him. In the next shot, Mai is wearing a black glove on her left hand, which she wasn't wearing in the previous shot. Two shots later, the glove is gone. (00:15:03)
Answer: The pirates are from the episodes "The Waterbending Scroll" and "The Waterbending Master" (They're the ones Katara stole the scroll from). The traveling musicians are from "The Cave of Two Lovers. The prisoners of war likely refer to the Kyoshi Warriors, the men of the Southern Water Tribe, and possibly Bumi and the other citizens of Omashu.