What is wrong with a teen boy seeing a baby girl naked? Some teen boys change their baby sister's diapers. Some babysit other babies. It's so normal. A naked baby is not a sexual object. If he was uncomfortable with it he'd have left. Yes,if he doesn't have younger sisters, he might've been interested in what the baby looked like but there's nothing abnormal or sexual about having that interest.
If you're not comfortable with it then you can ask him to leave, saying you're not comfortable, or you could pick her up and go to another room, saying you'll be back once you get the baby changed.