i agree with all of the above posts that it is inappropriate for your bf to shower in the nude with your 5 years old niece. i don't know, but i would feel highly uncomfortable in your situation just knowing that an adult male is completely naked with a young girl -- period...it doesn't matter whether they're father-daughter, brother-sister, or anything. i mean, i understand that perhaps your bf is just a really caring guy and loves your niece like you do, but no matter what, he should not be showering with her in the nude, and certainly not without your supervision. are your nieces' parents even aware of this? if not, you really should inform them, because, in the end, she is their child, and it is up to them; and if anything were to happen, then you would be held responsible and that would strain your relation with your niece's parents. also, if you don't inform them, then perhaps, one day, your niece would just say something to them about it in passing, and that would make matters really distorted and major.
i know that sometimes parents bathe their young children, etc...like when i was really young, my father would give me baths, but never did he get in the bath with me. i mean, for us, it was a bonding time as well, which i think is the case between your bf and your niece, but a line was drawn. my mother would have found it extremely inappropriate for my father to bathe with me.
yes, your niece will, with age (in a few years) grow more aware of anatomical differences and all, and feel shy and would want to bathe all by herself, but even so, you shouldn't let the situation go on. even as much as i love my bf, i would never fathom allowing him to go into the bathroom with my cousins' daughters, much less stripping naked and showering with them. even i wouldn't, because of the age difference between myself and my cousins' daughters.
your niece is young, so she doesn't realize the danger or inpropriety in the situation, but as adults, both you and your bf should. i urge you to discuss your discomfort with his actions regarding this matter, and to urge him to stop doing so. if they really are attached to their bath time together, then make him put on some boxers or something to cover himself up in your niece's presence...and i suggest that you stay there with them. don't come off as accusatory of your bf or paranoid, but make your grievances clear to him and then suggest your niece's bathtime as time for all three of you...also, perhaps just have your bf bathe her, rather than getting in with her.