If your going to a studio dance and you are escorting your partner and she is ONLY dancing with you - then not it is not really rude to say no.
However, if she is dancing with everyone and you now and again it is rather rude to say no. A studio social is a safe place of learning.
I can not tell you how many guys have told me up front - they are just starting. It's OK, we all were newbies once.
I've watched as they counted each step and concentrated on just the basic moves. THIS is where you gain confidence.
So what if you mess up, and have to start over - you laugh about it and say oops and find that beat again.
If I've miss a step a guy has lead - either poorly or it's something I've not seen before and he looks at me strangely - I'll say apparently
I've missed the pattern you were trying for will you try it again OR wow I've never seen that, show it to me again.

The more you participate the more confidence you will gain. The more you participate the more friends you will make.
The more you dance, the more you will find you leave your troubles outside the studio and it becomes a release.

Keep going! I can remember learning closed position in Tango with my instructor. His wife was there encouraging me to get closer it, WAS ok to do so.
Yes it was uncomfortable at first. That feeling WILL go away the more you work on dancing. HAVE FUN WITH THIS.