I've never heard this expression, so I googled it. I came up with pictures of "short down" jackets, and "short down" skirts. They were all items of clothing that were made from "down", as in "down feathers". These are the soft feathers that make for great insulation. I believe short refers to how long the item of clothing is. Anyway, I've never heard the expression, so I could be wrong. But that is my best guess.