You did hear right. Mika's song was used on the premiere night of DWTS. Here's the bit of the recap with Mika mentioned:
"...Posted on 09/22/2009 by David in Dancing with the Stars and General News
Celebrity: Ashley Hamilton, actor and comedian; son of George Hamilton
Professional Partner: Edyta Sliwinska
Dance: Foxtrot
Song: “Grace Kelly” by Mika
Breakdown: My absolute favorite dancer, Edyta, is back for her ninth straight season and I couldn’t be happier. This time, she’s dancing with Ashley, whose dad she danced with in a previous season. Apparently, Ashley had brain surgery at one point in time and he was having real trouble picking up the steps, but hopefully Edyta is able to work her magic with the actor. Unfortunately, he’s really heavy on his feet. All of his movements seem unnatural and uneasy, which leaves Edyta looking like she’s just dancing around him. Len said he needed finesse, Bruno basically thought it lacked anything and Carrie Ann warned them that they needed to define themselves in the competition. But papa Hamilton was still proud of it!
Scores: Carrie Ann: 6 Len: 5 Bruno: 4 (ouch!) Total: 15/30
Dancing With the Stars 9: Premiere Night #1 ..."
I was really surprised to hear Mika's song on the show. I ended up rewinding that bit just to hear the song again!