First dance at wedding?

My fiancé and I are planning our wedding. Due to his parents legal battles and abuse, his grandma raised him. They have a very special bond. However due to her religious reasons she does not want to have a first dance with him. Me on the other hand, my dad and I have wanted a first dance since I was a little girl. My fiancé really wanted a first dance with her, he is at the point where he can’t talk about it or think about it because it makes him so sad. Because of this, I don’t think it would be respectful of me to have a first dance with my dad if he doesn’t get one with his grandma. We planned on going somewhere after the wedding like my parents house has a big back deck that we have used for dancing before, that way my dad and I can have a first dance without leaving anyone out who doesn’t want to take part in dancing. But knowing my fiancé would have to watch that and would probably be sad about his grandma, maybe it’s a bad idea? I know this will hurt myself and my father as well, but I don’t know what else to do and I need to be supportive of him. Does anyone have any ideas of anything special we can do in replacement of that?