Hi A.,
Your little girl is still pretty little, huh? :)
I think of my preschool group, and the dichotomy of the four, five and six year old children. They are able to physically tell us what they need much of the time. But a "why" question like this can feel too huge for kids at any age.
Your little girl may not know exactly 'why' she feels the way she does*, but I'll tell you what this reminds me of. I worked with families as a nanny for many years, and I noticed this sort of response from children right before big anticipated changes. Usually, the change was kindergarten. The summer before their kinder year, children were aware that there was a big change coming up (some would be leaving their communities,preschool, daycare, playgroup or otherwise) and going to school in a brand new place. Whether parents are talking about it a lot or not in front of the child, the anticipation of any huge unknown sometimes sends kids into a fearful, upset phase. Things that were once familiar fun (going to the park, library, even out anywhere ) suddenly elicited a very real upset or even terror. I've had kids fall apart and scream because we had to go out during this time, so that's what struck a chord with me.
And this does often continue for quite a long time after kindergarten starts. It's a huge separation anxiety for some kids.
None of these kids, by the way, could have told me what was wrong, or how enormous these changes felt. I have only learned this through observing patterns in each age and stage of care, and have learned that these feelings our children exhibit can feel very frighteningly big and real for them, it's not an act or kind of manipulation. And it's certainly something I learned not to dig my heels in about. Better to try to work with it and be creative than to force a child to do something because we perceive their terror to be unexplained.
If it were me, personally, I'd go with your inclination that this isn't something you want to press right now. Believe me, I have learned the hard way. Figure it like this; yes, you've paid for the class, and now you are going to think of that as money lost to a good cause. You will be buying your daughter and yourself a space of peace and freedom from what could become a huge, regretable power struggle.
And when your daughter is showing her former level of confidence in outings and separation, then reintroduce the idea. She might go back to it, or perhaps there's something else that will have caught her eye. A lot of little girls like both ballet and soccer!
I hope things smooth out soon with your little one. Just be patient and have confidence that she will grow past this.
H.
* for more on these ideas, check out Bruno Bettelheim's "A Good Enough Parent". Exquisite and awesomely insightful and informative!