Whoa, what have I got here? And where are Elly's clothes? Well, in Japanese media, it's very common for characters to be portrayed as naked when they're represented in a metaphysical world, since they've shed any Earthly additions (Thanks to Shesez on Youtube for this information).
Every so often I like to look at an art book, and Xenogears' Japan-only art book is a good one. As the cover tells you, it's got all kinds of information on the world of the game. It's a crime that this never got any translated versions in the West, though. As for why that is... well, look at the cover. Is that the outline of a nipple? Such vile and evil things are verboten! I've got them too, unfortunately.