Possibly the character Ullii from Ian Irvine's Well of Echoes series.
Ullii is extraordinarily sensitive and even the finest lamb's wool clothes are too coarse for her. She is described as:
Closing the door, Jal-Nish led Irisis down the corridor. "She's a strange little thing. All her senses are so acute that she can't exist in our world. She's practically blind in light, though she can see well enough in the dark. Noise is like physical pain to her – a shout or a cry, everyday sounds to us, are to her like being trapped inside a tank with a banshee. Touch is just as bad – she cannot bear to wear clothes. Even silk she finds irritating. She is frightened of everything and everyone."
So the main protagonist, Nish, has underclothes made for her from spider silk. As you say even raw spider silk is too coarse. It is described as still having the spider's footprints on it. When Nish is talking to the weaver who is going to make the underwear the conversation is:
Nish thought he looked rather like a spider, the way his fingers worked. "Did you wash the cloth first?" the weaver challenged.
"No!" said Irisis. "I thought you’d already done that."
"Not a bloody washerwoman!" He glared at her. "There's your answer then. This is raw silk. It's still got the prints of the spider on it."
