Oh my (shakes head)
When I had a gym routine that included a shower on the premises I would take my socks and shoes off in the locker room, take my towel, undies and bra to the shower then put undies and bra on afterwards with my towel around me and go back to the locker room to get changed. I was an overweight, 40 year old heavily pregnant woman at the time who didn't feel comfortable being in a state of undress around the perky 20 something year olds.
I don't know OP, like the others mentioned if I had somewhere to be I would be annoyed at being held up but I also get social anxiety so I can sympathize with wanting to be covered, funnily enough one of my anxieties is feeling like I am naked in public (at the shops) but I would be fine being naked in a gym change room, like someone mentioned above- all size 24 of me :shrugs: I guess it is all context for me. I would just try to be mindful of how busy it is, if it is quiet than shower at the gym if not than at home or maybe try buying a nice dark short dressing gown and doing as another poster suggested
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