Let's not forget that the rest of the party saw Cloud and Tifa together. She could be embarrassed about them knowing that she emotionally opened herself to Cloud, or she could be embarrassed that they saw her naked with Cloud. It's pretty ambiguous but I'm going to say it's the first one.
***EDIT***
If you watch the scene, they have their clothes on when they wake up. Who has sex, dresses, and then falls asleep? I say they only snuggled.
Tifa wears a skirt in VII, no need to get undressed.

......Yeah.
OT, nah I don't think they did. More of a case of taking in the quiet before the storm with the person they both care most about.