In the given sentence, "At the performance tonight, I am going to perform a jazz piece that I choreographed," the pronoun "I" refers to the person speaking. Therefore, the pronoun used to refer back to "I" should be in the first person singular form.
The correct choice to fill in the blank in the sentence is "myself." This is because "myself" is the reflexive form of the pronoun "I," which agrees with the subject of the sentence.
Using "themselves" or "ourselves" would not be correct in this context because they are plural pronouns and do not agree with the singular subject "I."
Therefore, the correct pronoun to use in the sentence is "myself," making the sentence: "At the performance tonight, I am going to perform a jazz piece that I choreographed myself."