A false urban legend.

When Finland was cutting back on costs in the late seventies, the Helsinki youth affairs board decided to cut back on buying some comics for youth centers. Donald Duck was one that got the chop (since hobby and sport comics were given higher precedence).

When the man responsible (Markku Holopainen) was standing for parliament, a rival party leaked to the press that he was 'the man who banned Donald Duck from Helsinki'. The local press expanded the story, and the international press added the rest.

So, the original reason Donald was chopped had nothing to do with his nakedness, simply that it was seen as a frivolous use of funds.