Definitely the same in that regard. Being on stage can be embarrassing but it’s not a sexual embarrassment so the embarrassment and arousal only occurs in a naked situation. And like you I would probably feel embarrassed if I was around someone who is naked. I think the whole experience of nudity in general is uncomfortable for everyone involved. In fact I think I might even feel almost as uncomfortable around a naked woman if I was dressed as I would with the other way around. But I still think it would probably create more sexual tension to be the one naked because all the focus would be on you. At least she gets to keep herself nice and covered up!
In fact I have one specific fantasy that sort of addresses both of these issues. Basically I picture a situation where me and a woman are both stripped completely naked and we are in a public place and we know that we are going to be seen. There is only one pair of clothing available to cover up one of us, maybe just like a sheet or something like that which would cover up one of us completely but leave the other one completely naked. I desperately want to put that clothing on but then the woman looks at me blushing and saying “oh my God this is so humiliating, I’ll just die if anyone sees me!” and then I am forced, cringing, to let her take the only clothing and have to endure going around with her naked and being humiliated while she gets nice and covered up. JUst imagine how it would feeling watching her get dressed in the ONLY article of clothing.