Dwellers dance when they are about to make a baby.
Given that pregnant dwellers can not get pregnant, no. Pregnant dwellers will not dance.
I have confirmed this with a GameFAQs forum post, where a user advises on how to complete this objective quickly, and without the issue of having to worry about overpopulation.
TL, DR: As soon as the dwellers start dancing, it counts as them having danced. Immediately move one of the dwellers to a different room, then immediately move them back. The "baby making process" will reset, and you will have made them dance, without getting one of them pregnant.