As mentioned before, without more specific information, it's hard to determine the exact origin. It could have originated from the rich oral traditions of Serbia, where stories are passed down through generations in villages.
The origin might be related to a particular region in Serbia. Different regions in Serbia have their own unique cultural elements. Maybe in a certain area, there was a local story about a dancing lady that gradually spread. It could also be inspired by a historical event. For instance, if there was a celebration or a time of great change in Serbian history, a story about a dancing lady could have emerged as a symbol of that moment.