I think it is scrupulosity.   We are admonished "always to pray" (Luke 18:1).  Now certainly in public a woman ought to cover her head in prayer (during Mass for example), but in your home it is not necessary (but it would be a nice personal habit I think).  You should also remember that the naked body is not a bad or shameful thing and undressing in a room which has holy pictures in it is perfectly fine - the picture is just that - a picture whose job is to remind us of holy things.  It can't see you (to think it does might be on the edge of idolatry).  And there is nothing wrong at all with praying in the shower.  What better way is there to keep immodest thoughts away?

Jamie and CM give good advice here, spouse. Praying for me often helps to banish immoral thoughts or even just to put me into a more charitable mood if I am feeling grumpy.

Many Saints do counsel that we adopt a prayerful attitude before beginning to pray. St. Teresa de Avila reminds us that we are talking directly to God or to a Saint when we pray and so we should spend a few moments collecting our thoughts and getting into a suitable position before starting.

In my own case, I am part Swedish, so I have a genetic disposition towards nudity, and when I lived in a hot tropical country for many years I used to walk around the house wearing only a pair of underpants. When I returned to the Church and my prayer life, I noticed that it just didn't feel right to pray with so few clothes on; it felt disrespectful. If I truly believe that God or a Saint is listening to me as I pray then the least I can do is dress appropriately, in the same way that I speak clearly and slowly as I pray, avoiding slang speech and popular expressions, because I am conscious of the fact that I am a subject addressing his superiors.

No, I don't put on a suit and tie, but at least I make sure that I am decently covered when I pray. Praying in the shower or while getting dressed are different because nudity at those moments is appropriate for the activity being performed, just as CM said that it would be OK for a man to leave a hard hat on while praying at a construction site, or a soldier to keep on his helmet while praying during a battle.

As far as a woman covering her head, I believe the Church has only mandated that for praying inside a church itself; I don't think that women were ever required to keep the head covered while praying at home, although I know in the old days that most Christian women did keep their hair covered at all times in public, and often indoors, also.