Tell them they are forcing you to over bundle and that you want to wear a reasonable amount of coat. Explain to them they are making you over heat which is not good for you. Tell them you are embarrassed and not making friends due to their paranoia. Refuse to let them bully you.

If that doesn’t work. Take off what you don’t want to wear as soon as you are out of their sight. Lose the extra jacket perhaps?

I used to hide the clothes I was wearing from my mother until I was out of her sight.

My children never let me control them as to what they wore. I even let my son wear a fox tail when he wanted to!