No problem with asking.

Way back when, in the Highlands of Scotland, roughly in the period depicted in the movie "Rob Roy", the Highlanders apparently wore their kilts without anything underneath. How absolutely universal that was, I'll leave to historians, but I think there is room for some doubt as there are always those who insist on wearing whatever they feel like, Highlanders included. But, the consensus is that they went without more often than not. They continue to be worn that way in the military, i.e. when worn as part of a military uniform (hence a variation of "the question" is whether one is "Regimental" or not).

What one wear's under the kilt is purely up to them, unless they are wearing a kilted military uniform. It is only as part of a military uniform where one is required to be au naturel. Otherwise, the trick is to answer in such a way that is humorous, or leaves a bit of mystery.

Straighforward answers dismiss much of the fun and mystique of kilts.