Wayne Coyne, who is band's frontman, made the revelation in an Instagram post, reported Aceshowbiz.
The 54-year-old musician shared a picture of his band and Cyrus, 22, posing topless.
"Oh..! @mileycyrus is planning a show where her, the band(us) and the audience are all COMPLETELY naked with milk ( well white stuff that looks like milk) is being being spewed everywhere. It's a video (in the works) for #mileycyrusandherdeadpetz song 'The Milky Milky Milk...'," he captioned the picture.
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