Canonically, in the film this is the Mon Calamari Ballet (Mon Calamari are the species of Admiral "It's a trap!" Ackbar), staging a performance of the ballet/opera Squid Lake.

We are not making any of this up.

Transcript

{Anakin arrives at a large concert hall}
Anakin: Out of my way! Jedi Council Member coming through!
{Anakin enter's Palpatine's box}
Palpatine: Anakin; what are you doing here?
Anakin: Excuse me, Chancellor.
[SFX]: {performers singing} Only you have the power within you...
Palpatine: Hush, the spawning ballet is beginning.
Anakin: Excuse me?
Palpatine: It's the pivotal scene in any modern performance of the traditional Gungan creation legend.
Anakin: I don't deal in allegories.
Palpatine: Allegory? This is a charity performance in aid of the refugees of the current Naboo invasion crisis; I'm pleased you're offering your support.
Anakin: Actually I came to say...
Anakin: Is that alien wearing roller skates?