If you have concerns about being seen naked by the therapist during a massage, you should know two things. First, you remove your robe or street clothes and get underneath a sheet and blanket or towel while the therapist is out of the room. They knock before reentering the room.
Second, you are covered with a sheet or large towel at all times and only the part of the body being massaged is exposed. This is by law in the U.S. If you're traveling to spas abroad, particularly to Europe, attitudes towards nudity will be more relaxed.