Sanhedrin, Chapter Six, Mishnah Three
Mishnah three deals with whether or not the person should wear clothing while being stoned.
1) When he is about four cubits distant from the place of stoning, he is stripped of his clothing.
a) A man is covered in front and a woman both in front and behind, according to Rabbi Judah.
b) But the Sages say: A man is to be stoned naked and a woman is not to be stoned naked.
According to the Sages a man is stoned naked while a woman is stone clothed. According to Maimonides explanation of this mishnah, the reason that the man is stoned naked is to hasten his death. The clothing would present a barrier that would prolong his death and therefore prolong his suffering.
Both the Sages and Rabbi Judah agree that a woman is stoned while clothed. Evidently this is out of a sense of modesty. Note, that even while executing a person, the Rabbis are concerned with issues of personal modesty.
According to Rabbi Judah, this sense of modesty requires that even the man be clothed, although he need only be covered in the front, while the woman must be clothed from both sides