Does it have to be a documentary? In our FAQ, we link to a bunch of resources for information to provide to your parents that might help.
I do actually know of some documentaries, though. I have not watched any of these yet (boo, me!), so you might want to skim through them and check them out first before showing them to your parents:
Identity: In & Beyond The Binary: https://www.youtube.com/watch?v=jX5CfNWGqjc
Gender: The Space Between: https://www.youtube.com/watch?v=x7mBLMnaa1c
We Exist: Beyond The Binary: http://weexist.co/
Beyond Binary: https://www.bbc.co.uk/programmes/p03r8pgf~Tera