That's interesting. On a completely unoffical theory, demons are made by humans, so Victorian-esque humans (and known victorian-age writers..:) made demons in underwear or wearing animal skins.... Lilith opened the Breach expecting that humans, their "creators", evolve their demon personification when they face each other, so Neverborn would have more power and humans would be doomed by soulstones. What really happened nobody knows, but it looks like humans adapted, as always, and started to create monsters in more sophisticated outfits, like the widow weaver, or the new Barbaros:) So in brief: Neverborn clothes are part of the human imagination when we "see" one... in fact we humans cannot perceive them on their real form, that's also why creatures like Lucius or the Doppleganger exist in Malifaux
Anyway, my Nekima is not painted yet, so I'll modify it a little and transform her nylon bikini into a fur-like bikini to go better with the tots and nephilims... and waiting to put my hands on a new dressed-like-lilith Nekima one day