The simple answer is no. The myth itself likely comes from a book called Diary in America; With Remarks On Its Institutions, written by Frederick Marryat in 1839. He visited a girls' seminary and found that the piano legs were dressed in a pair of ladies under-drawers. The headmistress said it was done to "preserve in their utmost purity the ideas of the young ladies under her charge". The British already saw Americans as rather up-tight, so their newspapers picked up the outlandish story and republished it for amusement.