The director cannot feedback on your thinking.
Not only the director, but also the audience and especially your fellow improvisers cannot read your mind. What is going on in your head is not interesting; stay away from it as much as you can! Use as much of your brain capacity as possible for your character, not for yourself as an actor.
When you are on stage, and you don't know what to do, just do anything. There are so many people around to catch you if you might fall. The only thing your partners or director cannot help you with, is thinking. So don't do that.