The story is that commando units do indeed avoid underewear under their battledress - the phrase became popular when it was mentioned in an episode of the TV comedy 'Friends'.
Just to add a bit -- the reason commando units tend to avoid underwear is because during amphibious operations (especially covert ones) sand tends to get washed up into uncomfortable areas. Underwear would trap it exactly where you don't want it. Without underwear it drains right out.