It depends on the scene and who is supposed to be wearing the lingerie. Is is the pegger or the peggee? If it is just normal fooling around and the pegging just comes up as one of the activities, it is a go with the flow situation where it doesn't really matter.
Now if it is a domme taking control Read more… of her sub, it is the domme who tells her sub how to dress. I would think that in those cases, the sub should wear the lingerie especially if it is some sort of sissification play. I've participated in scenes where the sub willingly wanted to wear panties and a bra while the domme pegged him. It was entertaining to see the role play.

I attended a charity auction. It wasn't necessarily for doms/subs. It was much more wider in scope. The "activities" involved in the auction could take place off-site but some scenes were acted out that evening. I put myself up for auction and was claimed by someone wanting a sensual massage. Read more… She was really nice and enjoyed the service I provided. 100% of the proceeds went to a charity. I would do it again if I could find another similar event. The previous organizer haven't set another time or place.