Well, it could be many things. It might be a metaphorical story about a girl being tempted by evil or bad influences. Maybe she gets involved in something dangerous or immoral while 'dancing' (which could mean being involved in an activity) with the devil, who represents pure evil.
The 'girl dancing with the devil story' could be a cautionary tale. It could be about a girl who makes a pact with the devil in exchange for something she desires, like fame or power. As she dances with the devil, she starts to lose her soul bit by bit. For example, she might have to do unethical things to keep up her end of the bargain.