My best guess would be that it has something to do with the early
development of the waltz as a ballroom dance - with the standard CW
turn, is it possible to move CW around the room? I'm thinking it is
not (but I'd have to try it to be sure), thus it would be natural to
move CCW while waltzing. Waltz being the first dance where everyone
moves in circles, what got adopted for waltz got adopted as a
universal rule. I study historical dance, and in particular
the 18th-19th century transition period when the waltz came in,
and I'll try to remember to ask one of my teachers this question
when I have a chance. My theory begs the question of why the waltz
goes CW, of course, which I'd guess is because of the traditional
placement of the man on the left and the woman on the right, which
makes moving into the CW simpler.

All this is of course purely theoretical. If you get a decent
answer, I'd be curious to hear it.