Do you wanna see the girl who lives behind the aura, behind the aura?
Lady Gaga has created a major aura, a mystery of who she actually is, because of her costumes, attitude, and stage presence. She is asking if you want to see Lady Gaga outside of Lady Gaga.
Also, if we consider Aura meaning the Arabic word for intimate body parts in Islam (“awrah”), she could also be using the word “naked” in the sense of seeing who she truly is inside rather than her physical appearance. This confirms the metaphor of the Burqa serving as a mean of protection to mask physicality, allowing just the soul to be shown.
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