There are two things which happen when we exercise.
1. As
@JoKalsbeek mentions, our liver dumps glucose to give us ehe energy for the exercise, A healthy pancreas would release insulin to convert that glucose. Those of us with an unhealthy pancreas cannot release the insulin appropriately.
2. Our bodies become more sensitive to the insulin. A healthy pancreas would react by switching off or lowering the insulin production. Those of us with unhealthy pancreas cannot do that and if we have injected insulin (basal or bolus) our blood sugars may lower. This is why some of us experience hypos when exercising.
We are all different and not all exercise is equal. With stop-start exercise (like HIIT or weight training) the liver dump happens when we start each set of exercise but as the set does not last long enough for the insulin sensitivity to happen. This is why some exercise can lead to higher blood sugars.
This is why, typically, longer constant exercise is more likely to reduce blood sugars.
But, of course, it is not always that easy - we have stress to consider which raises blood sugars. An extreme comparison of this would be two cycle rides of the same duration. This first is flat and fast on a warm (but not hot), dry day. This will most likely reduce blood sugars. The second cycle ride will be uphill against the wind on a cold, wet day. This could raise blood sugars.
Unless you are a very fit cyclist who does this every day, in which case, you body will not be stressed.
Before the pandemic, I was a regular visitor to the local climbing walls. Climbing is stop start and stressful (in a weird fun way) so my blood sugars would always rise. To counteract this. I would take extra insulin before I started. I would calculate my insulin dose such that it would reduce my blood sugars to 3.0 under normal conditions. As this was no normal conditions, my blood sugars would be flatter. You could try this with Zumba - but make sure you have your hypo treatment close to hand in case you over do the dose.
Finally (sorry for the long response), the liver dump I mentioned above will mean that you will have less glucose to dump for the next 24 to 48 hours. Therefore, your blood sugars could reduce after Zumba so keep a close eye on them.