I vaguely recall seeing a mashal about a woman wearing fine jewelry, but no clothes, possibly related to someone with Torah, but not-great middos (like the nose ring on a pig one); however, for the life of me, I can't find it anywhere.
Does anyone know where this might be from?
The gemmora in first perek of megillah says that Achashverosh ordered Vashti to come before him as described in your question.
The passuk says in Mishlei 11,22, 'Nezem zagav be'af chazir, ishah yaphah v'soras taam'.
A gold ring in the nose of a pig, a beatifull woman with no reason.
The mishna in Avos 6,2 quotes this passuk to describe someone who is blessed with physical endowments but does not learn Torah.
The Ruach ha'Chaim on this mishna explains this is analogous to a naked person being offered jewellery to wear who will repudiate the worthless offer.
You are most probably thinking of the Gemara Sota 8b
הָיוּ עָלֶיהָ כְּלֵי זָהָב וְכוּ׳ פְּשִׁיטָא הַשְׁתָּא נַוּוֹלֵי מְנַוֵּויל לַהּ הָנֵי מִיבַּעְיָא מַהוּ דְּתֵימָא בְּהָנֵי אִית לַהּ בִּזָּיוֹן טְפֵי כִּדְאָמְרִי אִינָשֵׁי שָׁלִיחַ עַרְטִיל וְסָיֵים מְסָאנֵי קָא מַשְׁמַע לַן
The mishna teaches: If she was wearing gold adornments or other jewelry, they are removed from her. The Gemara asks: Isn’t this obvious? Now that the priest renders her unattractive by uncovering her and dressing her in unsightly garments, is it necessary to teach that they remove these adornments from her? The Gemara answers: Lest you say that with these adornments on her, she has more degradation, as people say in a known aphorism: Undressed, naked, and wearing shoes. This means that a naked person who wears shoes emphasizes the fact that he is naked. Perhaps one would think that by a sota wearing jewelry, her nakedness is emphasized and her degradation is amplified. Therefore, the mishna teaches us that this is not so.
which uses that exact depiction. The discussion there is about a Sota. The Mishna, after mentioning a couple of ways how she is de-beautified, says that if she is wearing gold or jewelry it is removed. The Gemara wonders, is this necessary to tell us after describing how she is degraded? The Gemara answers, "We would think it should be left on [as further degradation], as the saying goes, 'stripped naked and wearing shoes'."
However, the Gemara is not using it as a parable, but rather for its own sake, to point out how jewelry in this case would be an embarrassment.
On the other hand, the Gemara is quoting a common saying, and that was most likely used to bring out a lesson.
Most likely Ezekiel 16:7, where God describes finding the Jewish people as "all fancied up, but naked." The Passover Hagada quotes this verse -- when it says the Jewish people had become "great", that means great in potential but completely unpolished, just as Ezekiel describes it.
