The singer bared all after photographer Annie Leibovitz suggested she be sketched by Bennett for an upcoming issue of Vanity Fair.
GaGa made the confession during her Thanksgiving TV special on ABC. She explained: "I walked in and said, 'Well Tony, here we are', and I dropped my robe and I got into position.
"I felt shy and thought, 'It's Tony Bennett, why am I naked?'"
She added: "He's so handsome. I feel terrible whenever his wife is around because he's so charming and such a gentleman."
The pair recently collaborated on a cover of 'The Lady Is A Tramp' for Bennett's Duets II album.
The 25-year-old singer has released a Christmas EP titled A Very GaGa Holiday, which features a cover of the Bing Crosby classic 'White Christmas'.
> Lady GaGa unveils second 'Marry The Night' video teaser - watch
Watch the music video for Lady GaGa and Tony Bennett's 'The Lady Is A Tramp' below: