Thoreau was a proponent of limited government. His famous essay Civil Disobedience begins:
I heartily accept the motto, "That government is best which governs least"; and I should like to see it acted up to more rapidly and systematically. Carried out, it finally amounts to this, which also I believe- "That government is best which governs not at all"; and when men are prepared for it, that will be the kind of government which they will have.
Thoreau took the motto "That government is best which governs least" from an unsigned editorial in the first issue of The United States Magazine and Democratic Review (1837). This quote from the editorial explains Scalia's characterization of Thoreau's political philosophy:
The best government is that which governs least.... Government should have as little as possible to do with the general business and interests of the people. If it once undertake these functions as its rightful province of action, it is impossible to say to it, "thus far shalt thou go, and no farther." (p. 6–7)
In other words, government should not regulate anything that it does not absolutely have to:
Its domestic action should be confined to the administration of justice, for the protection of the natural equal rights of the citizen, and the preservation of social order. (p. 7)
This is a libertarian, laissez-faire ideology. Under such an ideology, viewing nude dancing would not be banned. If someone is willing to dance nude, and someone else willing to watch, it's not the government's business to step in and outlaw that.
Scalia argues that beautiful as this philosophy might be, it is not widely shared in American society. He also says it cannot be found in the Constitution and so is not fundamental to American government. He therefore says that regulating nude dancing is something that would fall under the government's remit.
Personally, of course, I find neither this alleged beau ideal nor Antonin Scalia's jurisprudence the slightest bit attractive, nor even intellectually honest, but that's neither here nor there.