It means she will wear clothes that will show a lot of her. You might hear this before she went out with a man she particularly likes. To "throw on" means to put on clothes, usually without too much regard for exactly what it is. Here, it means the opposite, though. If she is throwing on "a little nothing", it means that she has thought about what she will wear, but she wants to leave an image that it is just casual.

The correct expression is: "I will throw on a little something tonight" meaning that the woman wants to surprise the man with a stunning dress.