Where are some unique places to record a dance music video?

Anywhere

Explanation:

Since you are asking for "Unique Places" you could it anywhere.

At a Zoo, at a School, on a Bridge, under a Bridge, at a famous World Heritage Site

Make it more exciting and stunning on a Concrete Rooftop with a water tower on the top,Or a Massive Industrial container yard will be a unique options though it depends on the music you wish to record which places may vary..