Let's get the obvious out of the way. If this is a lady you're referring to, I can't see how it would be weird. "Funerals are for pant suits!" you cry while no one listens.
So I'm guessing you're commenting on a dude wearing a dress to a funeral. People can mourn how they want to, ass!
No, wait, maybe it is about a chick. Maybe if a man wore a dress to a funeral, you'd correctly assume that he was bonkers. Then bonkers would be the answer to your questions.
Perhaps we need to examine the dress as an article of clothing. The top's just like a blouse or a shirt, so we can deem that common fare and move on. It's the bottom of a dress where things get tricky. Technically, your undercarriage is open to the winds of the world. That's what makes a dress a dress, that wind-fingers can get up in there. I guess this would only be inappropriate at a funeral if the wind was so strong that it kept exposing a lady's personal bits. But then, wouldn't the question have been 'Why wear a dress to a windy funeral?'
I think I just got it! It's supposed to be a joke, right? You wear a dress to a funeral because you want to look pretty...in your casket!
Short Answer: This wasn't about exposed panties at all! It was about the vast void of nothingness from the very beginning.