"I am dancing to music"
There's no requirement that preposition use correspond between languages, and, in fact, it very often doesn't, even in closely-related languages.
I am anything but a Swahili expert, no doubt about it. However, independent sources do point to this verb being used with a form of music directly after it.
Wiktionary: "-cheza ... 3. to dance to music"
africanlanguages.com (apologies it's not a direct link): "-cheza ngoma verb dance to drumming"
Of course, there may be regional variation in Swahili on this point.
EDIT: here's an example from a Swahili text (bottom of p. 36) by a Swahili instructor at the University of Dar es Salaam.
Ninapofurahi ninacheza muziki.
The provided translation for the "ninacheza muziki" part is "I dance to music."