Why? In real life, football players will take up ballet in order to help thier muscles due to the fact that they share the same muscle group. (More on it here > http://healthyliving.azcentral.com/ballet-football-1747.html )

So, if we assume Heavy's job requires the same ablities as in football, then Heavy taking up ballet isn't so farfetched. Since, he needs to be able to carry Sasha around the battle field as he runs from and to incoming dangers!

THE POWER OF SCIENCE APPROVES THIS TAUNT! *Thumbs Up*