do girls in western countries wear underwear as party dress ?

That is absolutely NOT what most western women wear. In my lifetime in the west I've never been to a party where the women have come dressed in underwear. Who told you this nonsense?
A sense of modesty is cultural. It's not written in heaven, each culture has its own sense of what is right. In Papua New Guinea they are very modest, but in traditional setting women may not wear a top. This is not immoral, it is just normal. In other places to show the face is considered immoral. We shouldn't assume another culture is wrong. Just different.

To some extent, I agree with you.

It's quite possible in the West to dress in a somewhat modest manner and still look very attractive.

Most people find it natural to conform to the standards they are taught, with some varying degrees, generally within reason

I've never worn underwear as a party dress

I think clothing is about individual taste, comfort and choice.. and knowing how they can carry it elegantly.

apparently... id never wear that tho, just super uncomfortable and weird.

so how would you dress ?