Second, I don't think you should feel bad about not wanting to dress up in that outfit. Some people just aren't open to that kind of thing and there's nothing wrong with that so don't feel bad.
I do, however, understand why he would be feeling so embarrassed. You guys should be able to share openly with each other and I can only imagine if I told my boyfriend about a fantasy (or gave him a "sexy" gift) and he laughed....I would be feeling pretty embarrassed and guilty about it.
I don't think he did anything wrong by giving you that present. He did, afterall, buy you ballett lessons!! He was obviously trying to express his fantasy to you....and probably won't express himself like that to you ever again out of embarrassment.
I would talk to him about this after he's had some time to get over it and make sure he knows that you want him to communicate his desires to you and that you were just surprised and reacted that way out of surprise...not because you find him perverted or anything like that.