Really?? Geez, I've never heard that before. Bizarre.
It certainly is. I've seen it referred to as "paradoxical undressing". Supposedly it occurs due to the constriction and then subsequent dilation of blood vessels within a person's extremities as they experience stages of hypothermia. Not sure of the physiology, but the bottom line is that the person will suddenly feel overheated even as their temperature continues to drop. As a result they'll shed layers of clothing, hence hastening the process.