Meaning, they were all in the same place (“all together”) and they were naked (“in the altogether”).
“Altogether” can mean “entirely or completely,” too: “That was altogether uncalled for.”
(And just now I looked at the word “together” and pondered why it looks the way it does. I do that, sometimes.)
“I’m glad to hear he’s not gone [all together, altogether].”
The first option doesn’t make sense, really. He’s not gone all in the same place? What? He’s not gone completely. He’s not gone altogether.
This is the kind of post that comes to me sometimes when I’m reading social media. Perhaps the person who wrote “all together” knows it should’ve been “altogether” but didn’t bother to edit, or to read before posting. It makes no difference to me, honestly — except when I’m being paid to edit, or when I’m looking for post fodder.