Yes, there is that and I think in the original Naked Challenge some people were pretty close to that clothes-wise. Not when I revived the challenge though, not because it wasn't allowed, just nobody really went that naked.
I noticed that the colour bottles in AE/R also change your toon's basic clothing, depending on which region you buy it from. Greece is the same, Egypt is a two piece and Orient is a two piece with tattos/markings all over the rest of the body iirc.
Frankly I can't really see the point of your toon being naked underneath all the armour. You don't see it so just leave the basic costume as it.