A baby is born naked, that is say without clothes or saying it chooses to be that way, but merely a statement of fact. By contrast, if someone is nude, there is underlying purpose, whether sexual or artistic, to this state of affairs. Going one step farther, exposing yourself in public in most parts of the world can lead to an interview with a police officer, at minimum. The term unclad emphasizes the lack of clothing, not the result.
How a person reaches this state is also a matter of vocabulary. Being stripped is generally by another person, often by force. By contrast, many people sleep undressed, especially in the summer, removing their own garments.
Euphemisms have various nuances. Going au naturel sounds adventurous, as in going to a nude beach, while being in your birthday suit is quite innocent, without any intention before or afterwards. If you are walking around in the house in the buff, you have no neighbors or don't care what they see. By contrast, being caught without a stitch can occur while you are changing clothes and the doorbell rings, i.e., without any intention at all.