Usually, but there's been a lot of naked yus. It seems the more doll-like/deformed they're drawn the higher the likelihood of being naked. The "shitty nude" one-shots from a few months back were an example. As far as being born bodied (and that was just discussed in the forum as to that being possible), I only recall one example of a bodied baby with clothing in the Akyuu Guro pool. And developing clothing along with a body? I don't see it, myself. The clothing isn't as important to their identity as accessories seem to be. Maybe if it was their "skin" I could see it.
Basically, there is no canon, so anything is fine.