Who said there were no fireworks on the East River last night? A family who had taken a holiday cruise down to the Statue of Liberty ended up in danger of almost capsizing as dusk approached yesterday evening. The Delorbe family had headed down for lunch on the Jersey side of the Hudson and were making their way back home to City Island when they hit a rough patch and water began entering their 15-foot jetboat near East 34th Street. Luckily for them, their state of peril was quickly spotted by a nearby water taxi named "Frank Sinatra" who put out a mayday call that was promptly responded to by an FDNY rescue boat. The four adults and three young children were pulled out just after 7 p.m. The rescuing captain told the News, "It was the right place at the right time. If we didn't get to them, they would have gone under."