A person was supposed to be mostly naked in the banya. The towel was for propriety, especially with Gaby. He didn't want to offend her.
Illya grinned at her comment and laughed a bit. "No, but they are for hitting each other. It is very relaxing, actually. Like a massage." He already felt more relaxed in here, like the tension between him and Solo having to share a bed, even if it was only for two nights, was melting out of his pores.