"You cannot wear a swimsuit in here," said the nude man to the three of us bikini-clad women. "This is not America."

Our jaws dropped. My immediate thought was this had to be some crass joke. While I had come to expect some nudity in European spas, after five years living abroad, I had never known it to be mandatory. But as my two Canadian friends and I ventured out of the co-ed locker room toward the spa area of Davos's Eau-Là-Là Wellness center, there it was right on the door: a glaring sign featuring...