"No es que me pena bailar."
As a Spanish speaker from different countries how do you understand that phrase?
I have heard there is a different understanding of that phrase in Mexico and in Spain or maybe some other Spanish speaking countries as well, but I don't know exactly. Help!

Question

"No es que me pena bailar."
As a Spanish speaker from different countries how do you understand that phrase?
I have heard there is a different understanding of that phrase in Mexico and in Spain or maybe some other Spanish speaking countries as well, but I don't know exactly. Help!

Answer

It could be "me da pena" o "me apena", both expressions can be heard in some Spanish speaking countries. 
The meaning: I feel sorrow, I'm ashame of . 
It's easy to mis a word or a vowel when you hear something in a language you're not familiar with. 
Anyway, it means that somebody is apologizing because he or she doesn't want to dance. 
"Pena" can be traduced as "pity; sorrow", but in some Latino-American countries "pena" means "shame". 
"¡Tienes una linda voz. Cántanos algo!- No...me da pena" could be a dialog. 
Notwithstanding, in Spain the answer would be : No... me da vergüenza".

Answer

7. f. Á. Caribe, Am. Cen. y Méx. vergüenza. 
RAE
No, es que me da vergüenza bailar.

Answer

looks like if someone is shy about dancing or something ike that

Answer

"Me pena" doesn't exist in Castillian Spanish, but "me da pena" does, meaning "it makes me feel bad".
So if a South American said this to me, I would think it was another way of saying "it's not that I feel bad about dancing".
But context is needed to clarify it.

Answer

I don't know in other countries, but in Spain that phrase means nothing. Sorry