Cambridge has 30+ colleges, most of which focus of math and hard sciences. So which college would turn out someone who ended up as a dancer/choreographer/theater director?
(I mean really show, why couldn't you have him go to RAD or RADA?)
I have used my google-fu with search terms like: "dance at cambridge uk", "dancers at cambridge uk" "performing arts cambridge uk" "theaters cambridge uk" "famous performers from cambridge uk" (lots of actors, some musicians, no dancers)
(Just FYI, Cambridge Massachusetts =/= Cambridge UK)
I looked over the Wikipedia entries for every college at Cambridge. I have found schools that offer dance programs, but they are listed as "fourth rank" classes and you can't actually take an A-Level (master in) that field.
ETA: Thank you all for the help, I've decided the character was lying to piss off his rival - which totally works with the character and the canon.
Rival: "I graduated from Oxford, where'd you go?"
MC (with a smirk): "The other place."