The chroma key as your client suggests would only help you cut out the talent from the background easier.  With proper technique you can cut them out from any background.  The most important aspect for chroma key is to have the lighting quality on the dancers match the lighting of the space you are placing them.  Light direction and contrast ratios need to be the same for the talent to appear real in the new environment.  If the lighting direction in the pano, where you will place the dancers, is from the right then the main source of light for the chroma key must also be from the right.  Now the fun part, for the key to be an effective tool it needs to be evenly lit across the whole screen (spot meter comes in handy) and your talent then needs their own lighting to simulate the screen direction.  Would it not be easier to put the dancers in the real scene?  And as mentioned before if you shoot the pano with your Sigma 8 then the dancers must be shot with the fisheye as well to keep proper perspective.  

I don't know everything about pano's but I have been lighting and shooting green screen for film and video production for over twenty-five years.  This is one topic where I do think I know what is going on.

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Good Luck...
TTurner