They were not ashamed, in the first place, because they were in the neighbourhood of the world, and the different parts of the world are all naked, each of them indicating some peculiar qualities, and having peculiar coverings of their own. In the second place, on account of the sincerity and simplicity of their manners and of their natural disposition, which had not taint of pride about it. For ambition had as yet no existence. Thirdly, because the climate and the mildness of the atmosphere was a sufficient covering for them, so as to prevent either cold or heat from hurting them. In the fourth place, because they, by reason of the relationship existing between themselves and the world, could not receive injury from any part of it whatever, as being related to them.
Why Adam and Eve Were Not Ashamed of Their Nakedness
The Midrash of Philo 25:2