I think you'll be fine. On the first appointment, the doc will likely ask your symptoms, ask your history, etc. And then they may do some tests, such as bloodwork, and/or send you home with a collection hat so that you can do stool samples, but they are unlikely to do anything invasive at your first appointment.
Don't be embarrassed. All my doctors are male, if they need to do anything even remotely invasive/anything involving disrobing, then they bring a female nurse into the room - they never do anything invasive without a female present. And doctors have seen it all, I assure you. I have a friend who works as a nursing assistant in a hospital, and he told me that he's now seen so many naked people that he actually finds it really nice when people are fully clothed.
So don't worry too much, I think you'll do fine. Good luck on Thursday!