One source told The Sun newspaper: "He hugged her to cover her up. He went over to be the gentleman and said, 'I'll shield you, I'll protect you. I won't let them see you.' She seemed to like that very much. There were no complaints from her."
Harry was with a group of 15 people when a game of naked billiards was suggested - and he was the first of the four men and two women playing the game to bare all as he started wearing just his swimming shorts.
The partygoer added: "When we got to the room, Prince Harry was already there. There were about 25 people in total - at least 15 girls.
"There is a beautiful billiards room in the suite. One of the guys said, 'I've an idea. Let's spice up a game of pool.' Harry said, 'Let's f***ing do it.' That was what jump-started the party.
"He went first and was just in his swimming shorts - he didn't have any underwear on. So he got naked straight away. His friends gave him a hard time about being naked. This was around 4am."
Harry is said to have been given a "talking to" by his father Prince Charles following his return to Britain on Wednesday and advised to "lie low" for a few weeks.
A source told the Daily Mirror newspaper: "Charles is not impressed with Harry's antics and thinks he should have known better.
"He has advised him to lie low and not be seen falling out of any nightclubs. He gave him a talking to as any protective father would because he wants to make sure this kind of thing doesn't happen again.
"But he wasn't too unkind. Harry is embarrassed enough as it is."