Actually, I completely forgot before reading this again today.
I promise I'll look it up when I get home.
Okay, folks, here it is, the explanaation as to why Captain America and Bucky dresss up as women to go to Europe. . .
There is none!
The story is from Captain America Comics 2, "Trapped in the Nazi Stronghold!," helpfully reprinted in Golden Age Captain America Masterworks 1.
American financier Henry Baldwin is kidnapped by Nazis and presumed taken to Europe. As Captain America says while reading the paper, "Believed taken to Europe, eh? That sound's (sic) logical!" So, Bucky asks "Now what are you thinking of doing, Cap?" Then
this happens.
After which Captain America and Bucky stroll past their Sergeant as he says "By gum, where'd they come from? Could swear they remind me of someone!"
On the plane to Europe Bucky is heard to remark "Oh, Granny! Look at all the beautiful waves!" To which Captain America responds "I'm looking, sweet child --- But not at the waves. . . Take a gander ay who's sitting there!"
"Well I'll be! It's Henry Baldwin!" Dun dun DUN!
Then Cap's attention is immediately drawn away as "That guy coming toward us looks like a fifth columnist!" So he socks him right in the face! Then goes back to knitting and singing "Tra-la-la-tra-la" while the fifth columnist puts his monocle back on and says "If I vass sure of vot I'm thinking -- I'd ---"
And then Captain America and Bucky change out of their dresses and fight Nazis aboard the airplane in an effort to find Henry Baldwin, who's NO LONGER ON THE PLANE! Dun DUN!!! So Captain America and Bucky get back in their dresses, their plane lands in Portugal, where they enter Germany by way of "Gay Paris!"
Anyway, it turns out there's a Nazi disguised as Baldwin and Captain America and Bucky save the day.
But there's no actual explanation given as to why they wore such disguises all the way from the USA to Portugal, France, Germany, England and back.