"
I'm dancing on my own, I'll make the moves up as I go
And that's what they don't know, um-um, that's what they don't know, um-um
I think this lyric means that she is just going to beat by her own drum and make up her own rules as she goes. Thats What They Dont Know is referring to the fact that society doesnt pay attention that she is beats her own drum and that she makes the rules of her life not society.