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.