You are most probably thinking of the Gemara Sota 8b 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.