She's been shown to wear some clothes under her armor in the manga. This picture is obviously just for the sake of HOT.
Actually I think it's a way to depict that despite all the armor and general "manliness" Casca exudes, that she is still a woman at heart. Pretty much cuts the core of her character.
Can't be normal to wear nothing under armor, can it? I always assumed there was some kind of padding under there. Metal must chafe.
But late, but usualy wool, burlap or similar clothing was worn underneath armor, (good) metal armor doesn't chafe, but it hurt if you get hit by anything, padding just makes it more confortable.