Red Sonja explains her outfit’s origin

"Seriously," he said, "that mail-shirt really is a great improvement over your previous armor or lack of it, rather. Tell me, whatever possessed you to design such an impractical outfit?"
"I didn't design it. You weren't far wrong, Tio, comparing it to some harem girl's garb. It was designed for me with something like that in mind-not by a nobleman, but by a regent of Hyrkania." Tio leaned forward, intrigued.
"His army captured the mercenary band I was with," Sonja went on, "and his soldiers brought me to his palace in Khorlu. The fat swine had me paraded before him like a slave-whore at auction, then announced that he found me to his liking and that I would be one of his concubines. He seemed amused when I protested that I was a soldier, and had his metal workers design that mockery of armor for me.
"The whole story is too involved to go into now. I'll say only that I managed to slay the pig when he tried to possess me, then escaped from his palace and from Hyrkania. Since then I've often worn that costume, even in battle-just for the pleasure of disemboweling any man who chose to make an issue of it."
Tio whistled. He could barely sense a restrained fury behind the woman's even, matter-of-fact tone.
"You're one of a kind, Sonja and, by Mitra, if I've ever offended you, I hasten to apologize!"
- Red Sonja: When Hell Laughs