As others have said, next time she'll say "I've only got a vest on underneath" and they'll probably let her through.
The thing is, though, that if women routinely claim (whether truly or not) that they only have underwear on underneath a thick coat/extra outer layer and thereby expect to be simply waved on by, this opens the floodgates to nefarious individuals - whether female, female-identifying or other - using this excuse as a loophole.
The upshot of that could then be that women, as a class (being by and large the ones who may be dressed in this way), become considered by default as a potentially greater security risk profile, with any additional default security measures that might lead to - specifically aimed at women - to reflect this perceived greater risk that 'being female' could represent.
As has been said, women who cover up fully for religious reasons are usually happy to be taken into a private room and be security-checked by a female guard; but can you imagine the uproar (and the abuse they would face) if all such women claimed that their own personal clothing choices rendered them outside of the standard security checks and that they should expect to be waved by, just on trust?
Clothing choice is an important part of air travel, and you do have to think ahead as to how that choice you make may make you feel uncomfortable during normal security checks.
Even when not flying, it does seem quite an eccentric choice to effectively skip a layer - standard top or t-shirt - and just go for underwear covered by a substantial overcoat/jacket/similar. What do you do when you want to react to the weather or over-zealous aircon - have to decide whether to swelter or stand there in your underwear, with no in-between option?