I stumbled on this thread in 2014, long after the original posting, as I was looking for flame resistant sports bras and this thread came up in search.
I have found three options. From least to most expensive, they are:
Here's a link to a study by the Forest Service, "Tests of Undergarments Exposed to Fire."
the best flame resistant material for clothing such as underwear and bras is the old standard cotton.
anything else would be too flammable to wear in a fire situation or arc flash incident.
while tight woven wool is also good it would be heavy and uncomfortable.
i forgot to add while there are specialty wear out there they are also prohibitively expensive