A bolero is a type of quick, lively Spanish dance. It's also a short jacket worn mainly by women.
You could dance a bolero in a bolero, because this word refers to both clothes and music. The kind of bolero you wear is a short jacket that just about comes down to the waist. A bolero is most often worn by women: except in Spain, where men wear it too. The dance is a quick-paced type of music that you could do to Ravel's famous piece, also called Bolero. Both the music and the jacket come from Spain.