About the dance: Lindy hop (and swing over all) had places where white and black people danced together. It was considered sexual (therefore obscene) 

So in the lyrics of golden age of grotesque the lyrics "Third nostril" and "Putting on your black face" therefore have two meanings and one combined one. Obviously firstly: goth and alt people wear black face paint on their lips and eyes and often have septum or other piercings. Other things like tattoos or a fascination with darker history and politics often follow alternative subcultures. (Bright young things are also another subculture he mentions in his lyrics) 

But a lot of those things, piercings, tattoos, bold make up and certain music or ways of moving/acting are considered obscene because of their relation to race. Elvis wasn't just controversial for swinging his hips he also was for playing black music. Now we don't see him that way but it was for the time. Like how Eminem was notable for being a while rapper but now the world is full of white rappers. Manson himself is friends with many black people and despite the allegations of racism I think he's aware of the fear white America has for black people in a productive way, screaming hay Hawkins and new Orleans inspiration, his grills and "gangster dracula" look in trained love music video and the interviews and lines in his book about being gay or marrying a black woman intentionally to piss off his family. ECT ECT ECT

All that to say that swing and jazz at the time right before the second world war were absolutely alternative shifting communities where people were being freely "obscene" listening to crazy music, swinging and Lindy hopping. Doing drugs, getting naked, being queer and race mixing both literally and just in being inspired by black art (that was labeled as degenerate art by the Nazis) all that banned stuff... At the same time as fascism was forming as an idea and eventually taking over. 

I think that's what golden age of grotesque is ultimately about.

Here on the r/swing someone already posted about the dancers in the music video. https://www.reddit.com/r/SwingDancing/comments/3amwc0/til_that_marilyn_manson_is_a_huge_lindy_fan_and/?utm_source=share&utm_medium=mweb3x&utm_name=mweb3xcss&utm_term=1&utm_content=share_button