Well, it doesn't necessarily mean, "running around naked". Take India for example. Or the areas of sub-saharan Africa where Islam is influential esp wrt female attire.

When my father was stationed at a remote SAC base in Morocco, most local women (some had 'gone european') left only their face/eyes & hands exposed when outside, no matter how hot it was & it got really, really hot sometimes. And what they covered up with was NOT light-weight!

IMO, "going native" referred more to adopting local customs/attire w/o necessarily 'stripping down'.