I have been wondering this for some time now. I have watched the shows and read the manga and carefully on any number of forums and similar to see if anyone else has ever noticed, but have seen no indication that anyone ever has.
At least they have never mentioned it.
But if you have read or watched Eiichiro Oda's One Piece with any diligence you will notice that even though they wear various types of swimsuits, the pirate women of One Piece do not wear underwear at all. In fact all visual indicators in both the manga and the anime show nothing that would be underneath their clothing.
I'm wondering what all of you think?