Is it correct to say 'i have class' in English?

In British English saying “I have class” would be proof that you didn’t.

This is because when you say, for example, “she has class” what you mean is that the woman you are referring to is of high social status and has the ladylike manners to match. Someone who actually has class in this sense would never say it about themselves. To do so would be boastful in a way that demonstrated that they didn’t have class.

You will have gathered that in British English the phrase does not mean that you have a lesson in school.