It is a common, but incorrect, construction. You are right that it is the woman who is naked, not the picture. However, we have come to use the terms "naked picture(s)" or "naked photo(s)" as a general term for pictures of someone with no clothes on. So yes "a picture of a naked woman" is grammatically correct but you will hear "a naked picture [of someone]" a lot.
Note that I've added a little to your title in case people thought you were attaching a photo of a naked woman!
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