Parris told the Los Angeles Times that Mad Men creator Matthew Weiner prefers to keep character back-stories secret from the actors.
"I got the script and I saw what I was doing and I had to ask a few questions, like, how long have I been here? You know, I didn't even know how I got there," the actress said. "So when I watched the first episode of the season, I was watching with everybody else and I was like, 'Oh, this is how Dawn gets into the office'. I had no clue. I find things out with everyone too."
Parris also hinted that season five will explore the difficulties Dawn faces as the first African American employee of Sterling Cooper Draper Pryce, with a specific focus on her relationship with Peggy (Elisabeth Moss).
"I think Peggy is the perfect person for us to learn about Dawn. She's the woman on the show who is more open-minded, feminist - she doesn't even know she's a feminist, but has that kind of air about herself," the star teased.
"I thought it was pretty cool to see her mindset and her beliefs and these things that she stands for sort of tested and see how that plays out for Peggy - because, you know, we hear her talk about how her boyfriend is covering the riots in Chicago and all kinds of things."
She added: "Then we have this heart-to-heart and at the end there's the purse thing. The subconscious judgments that her character harbours and probably didn't even realise it.
"I realise a lot of responsibility comes with this role. It's the first time the show has had an African American in the office, but I try not to let it overwhelm me."
Mad Men airs on Sundays on AMC in the US, and Tuesdays on Sky Atlantic in the UK.
> Mad Men star Vincent Kartheiser: 'Pete, Peggy have healed wounds'
> Mad Men Rich Sommer: 'Harry would be annoying to work with'
Watch a trailer for the fifth season of Mad Men below: