She died of skin suffocation. It's been known to happen to cabaret dancers. It's all right so long as you leave a small bare patch at the base of the spine to allow the skin to breathe.
10 seconds sound clip from the Goldfinger movie soundboard.
You can hear this line at 00:18:00.504 in the Blu-ray version of the movie.
Quote context
[...]
- Hello?
- Hello, Felix? Get over here right away.
- Dink?
- No. Masterson, Jill Masterson.
- And she's covered in paint. Gold paint.
- You've hardly distinguished yourself, have you?
- You were supposed to observe Mr. Goldfinger, not borrow his girlfriend.
[...]