Burmy will often cling to whatever cloak it built prior to entering that environment, actually, and if it loses it and has nothing to use instead, it will simply go naked. Naked burmy are not actually in any danger in terms of health; they simply can’t be used for battle because they’re particularly vulnerable. In this state, they lose their secondary typing (that is, they’re simply bug), which means they lose the weaknesses of whatever that typing was, sure, but on the other hand, their defensive capabilities are hindered to the point where even the slightest Tackle can knock them out. It’s just not worth using them for battle.
Of course, it’s also worth noting that burmy can be particularly creative, and even if a burmy is wrapped up in plain pieces of paper, seafaring navigational tools, and wiring from a boat’s motor, that will still count as a trash cloak burmy, typing and all. It will also count as an effective way to strand you out at sea, so it’s not something I would particularly recommend, no.