First of all, you will need an evenly smoked set for shooting, so there's a light haze in the air.
If it's a big soundstage space, you need a decent-sized hazemaker of some sort, and you will need to close any doors and windows, air ducts, anything that causes the smoke to drift.
The lights shining through the holes have to be a sharp, projected source to work the best. Dedolights might work in a small space, but you'd need a lot of them. If you have more space to work under the stage, Source-4's or Lekos (ellipsoidal lamps, which a Dedolight is a type of too) would work.
Trouble is if you have a lot of holes, how many lights would it take to shine through them? If there are too many to afford all those lights, you may try a complex system using many mirrors (like 1'x1' squares) on the floor under the hole angled somehow so that they all reflect one really powerful projected light raking across the floor, hitting all the mirrors, and then shining straight up. Or probably a couple of powerful lamps. It may have to be a couple of Xenon lamps, for example, like some 2K Xenon's on the floor. Or Molebeams. If not, then HMI PAR's. You'd need some black flags to absorb the light that spills past the mirrors and shoots out across the stage floor.
Or rig a bunch of little, very narrow-spot (VNSP) PAR bulbs (like MR-16's) under each hole, in a deep enough socket to create something of a funnel / snoot effect on the light.
I just hope your dancers aren't wearing high heels with all of these holes in the floor...
