Why not? Art is a keen thing, you can do what you like when you make it. The other answer generally given with regard to this film is that people slept in the nude during the Middle Ages, but I'm not sure this is the case. Were I living in a giant stone castle, I'd likely have at least three or four sleep shirts of varying thickness. In terms of where Lady Macbeth's head is at, however, it's a genuinely marvelous choice.
