In all honesty, while I do know of some relatively local classes, I doubt they are as good as the classes run by MoB in London.
As many posters on this forum will agree, the quality of a burlesque course is only ever as good as the quality of its teacher(s) (both in terms of teaching style and performance ability/experience).
It would definitely be worth donning your most adventurous shoes and trying to get yourself to a MoB class in London. Keep your eyes-peeled here:
Ministry Of Burlesque - MoB Academy Presents... Fan Dance Masterclass - Aug 31 2008