La Danse Siamoise, is described in Jane Pritchard's article accompanying the exhibition at the Victoria and Albert Museum as "Nijinsky's Siamese Dance in the divertissement, Les Orientals." It was choreographed by Folkine, inspired by a performance he saw of classical Thai dance in St. Petersburg in 1900, according to Richard Buckle. The choreographer of this piece seems to believe that Nijinsky choreographed the segment.
The show is a reminiscent of La Danse Siamoise by the late Russian ballet dancer Vaslav Nijinsky, who was inspired by a Thai dance and music performance. It was performed at the Mariinsky Theatre in St Petersburg and the Paris Opera in France a century ago.
Here is a link to the article.