I'd agree that it is perfectly normal to have you in a bra and underwear. However if you feel uncomfortable then bring a pair of shorts, or better lycra/legging type shorts, and just tell the therapist that you will feel more comfortable wearing them. The should really ask you if you'd like a place to change or if you'd like it if they left the room while you popped them on. That's just good form in my book but there's nothing unprofessional if they don't offer it. To be honest some times I have asked the clients if they'd put a few more clothes back on!