Does this type of colloquial compound adjective translate directly: "got-rejected dance"
Not colloquial, normal.

跳他们不让我表演的舞蹈。
Dance the dance which they would not let me perform.

[relative clause] 

A relative clause is an extended, trailing adjective. Chinese knows no relative clauses. Chinese puts these kind of things first. Case considerations precluded the use of such adjectives before nouns in Western languages.

Dance the [which they would not let me perform] dance.

Dance the dance [(which) they would not let me perform].

跳 [他们不让我表演的] 舞蹈。

Ah, well, in that case:

I stamped my feet in anger at my rejection. = I danced my "I've-been-rejected" dance.

被拒绝后，我气得直跺脚.