A parabola is supposed to be a conic section, obtained by slicing through a cone with a plane, like this from Wikipedia:
But if you do this, what you get is just part of an elipse, since if the cone and the plane were bigger, eventually you'd end up with an elipse. And a section of an elipse is not a parabola - there is no possible focal point that satisfies the condition that all points on the curve are equidistant from the focal point and the directrix - at least not when I try to construct this in my CAD software
Answered by JonathanZ, the key thing was the parabola needs the slicing plane parallel to the slope of the cone (not illustrated or explained clearly in either Wikipedia or Wolfram IMHO). Here's what it looks like in my construction:



It's not clear what you're saying about "not being able to find a focal point and directrix", but if you are trying to create this construction with CAD software, it seems worth mentioning that "being a parabola" exists at a "critical point", i.e.
if you've got an ellipse and jiggle parameters a small bit, you still get an ellipse,
if you've got a hyperbola and jiggle parameters a small bit, you still get a hyperbola
if you've got a parabola and jiggle parameters a small bit, jiggle one direction and you get an ellipse, jiggle in the other direction and you get a hyperbola.
Phenomena like this, which are perched on the transition line between two areas, are very hard to render with finite precision math. I wonder if that's the problem you're running into?
Also, as to your comment "if the cone and the plane were bigger, eventually you'd end up with an elipse" - in order to get a parabola, the slicing plane has to be exactly "parallel" to the edge of the cone opposite to it, i.e. never intersect it. (It looks a little off in your image, possibly due to the angle of view.) This is again something very hard to do with finite precision math: Draw some random line, then try to come up with a plane that never intersects it. If you're the least bit off there's going to be some intersection, probably way off in the distance, but intersection none the less - even though we can mathematically show such a plane exists, and give an equation for it.