According to normal rules it should be Prepositional, but native speaker most probably would say "в мозгу" (last syllable is stressed). It is so called Locative case which in Russian exists only for several words like снег, лес, нос, кон, бег...


But "мозг" sounds too physiological. "You're dancing in my head" - what does that mean exactly? "You are in my memory/mind?"