It may not be an invasion of privacy per se--those typically involve dissemination of private information--but it may well be sexual harassment at work, which is illegal. In theory, the female employee may have a cause of action (grounds to sue); in practice, you need to consider the facts. For example, in terms of assessing both liability and damages, there's  difference between this happening more than once (or being part of pattern of discriminatory or harassing behavior) vs. being a one-time occurence; between the woman being fully undressed or just putting on/taking off shoes; between if the male supervisor apologized and  left immediately vs. he stayed there, leering or commenting; vs. there was some reasonable ground for him to be there (e.g. thought no one was in the locker room and everyone had gone home, but wanted to turn off the light) vs. there was no valid excuse; etc. If the female employee feels sufficiently damaged or injured, she should consult with an employment attorney who can evalute all the circumstances to advise her as to the strength and potential value of the case.