I believe it's a term for either sex going out without underwear. It's supposed to originate from the theory that Commandoes don't wear underwear - maybe someonce can confirm that? It came into popular usage after being heard on an episode of 'Friends' a few years ago.
I think the commando link is real...because Lord Lovats commando unit in WW2 were largely scots, who (at least in kilts) are famous for their lack of nethergarments.