Edit to clarify

Apparently a lot of people in the comments were confused about what I meant, thinking you couldn't use any words at all to describe things, because words originated here on Earth. That's not what I meant. However, because I did not explain my standing fully, I will do so below. I have removed the original answer.

One of the attractions of fantasy worlds is that they are different from our own. Some readers read fantasy for that very reason. That's why you want to avoid breaking that reality and bringing them back to the real world (and likely the real world problems they were trying to escape from in the first place). With me so far?

There are a few things that can break the fantasy-reality. One of the most common is referring to objects that do not or should not exist in the fantasy setting.

If you are relating a tale about elves, dwarves, a dark lord, and a familiar quest to destroy a powerful artifact, you do not want to describe elves as wielding shotguns, or dwarves as possessing kevlar. Unless your story is urban-fantasy, steampunk, or something similar. For the sake of clarity, we will ignore that possibility for now, and assume that the theoretical story in question is high fantasy.

Note: Because some people are still reading too much into this, I have to say that it should not be assumed I am saying elves cannot carry shotguns. Remember that I am using a High Fantasy Setting as an example. Elves generally use bows, swords, and/or magic in High Fantasy. If the shotguns reference just isn't working for you, replace the word with 'mathematical calculators'. The effect should be the same.

Why don't you want shotgun-carrying elves? Because - unless shotguns are inherently part of your fantasy-world - they are a tie back to the present times, the real world, and anything your reader might have been trying to escape.

What if you do, in fact, have elves carrying 'staffs' that are, in effect, shotguns? This is, I believe, what the OP is asking about (he has people wearing Egyptian clothing when no Egypt has ever been present). At that point you describe the 'staff', give it a different name, and carry on with your story. It's fine if the reader deduces the staffs are in fact shotguns. In fact, that's a good thing, because then they'll be able to relate to the appearance of a shotgun, rather than having to rely on your description. As long as you never actually call it a shotgun, the fantasy-reality remains unbroken.

What I am not saying: Does this extend to everything? Should you, for example, never call something a hat, simply because we have hats here in the real world? That's not what I'm saying.

If you have an object - a specific object - which strongly correlates to something not present in your fantasy-reality - be that a person, place, thing, or idea - do not use its proper name. Here are some examples of things you should describe and invent different names for (assuming you are dealing with a high-fantasy setting):

Elvis Presley's hair style. Unless Elvis can travel between worlds in your book, you will be better off describing this and hoping the reader catches the hints.
A helicopter. Helicopters imply a modern level of technology, a technology that is likely not present in your fantasy setting. If you have a flying machine that operates by spinning a blade through the air very, very fast, fine. But don't call it a helicopter, even if that's essentially what it is.
The Sahara Desert. Tempted as you may be to describe something as 'Sahara-like' to show how hot it is, don't do it. Unless you actually have a Sahara Desert in your novel. Describe the heat.

Here are a few things which you should use the proper names for:

A hat. Hats are largely universal. They are not tied to any particular person, place, time, thing, or idea. If your wizard has a hat, say he has a hat.
The ocean. The ocean has always been there. Unless your world has no ocean or the characters have never seen it, you don't need to describe exactly what it is. Just call it an ocean.
Seals (or other animals). Some fantasy settings remove a lot of the familiar animals. Some don't. Unless your world specifically doesn't have such creatures, there's no reason you can't use them to describe something. Like hats and the ocean, they are not tied to any specific time or place.

So to answer the OP's question directly: should you call Ancient Egyptian clothing by its proper name in a world with no Ancient Egypt? Absolutely not. Why? Because doing so will pull the reader (at least to some extent) out of the fantasy-reality. Am I saying you can't describe clothing as shoes, hats, pants, shirts, robes, sandals, trousers, skirts, gloves, or boots? Absolutely not. If an article of clothing has a specific tie to something only found in the real world, don't call it by that name. Otherwise, you are likely fine.

Now if your fantasy-reality essentially is Ancient Egypt, you have a little leeway, because readers are expecting the garments that go with that civilization. I still wouldn't use the proper name right away. I would describe it, and then name it. If you really wanted to, you could use the proper name then. But don't use it to describe the clothing. Use it to name the clothing. Worst case scenario is that the reader thinks you can't come up with different names. Best case scenario is that you spark an online debate as to whether or not your setting actually is Ancient Egypt, and book sales soar.

Note: Make sure the description of the clothing is relevant. Amadeus has a good point here. If you don't need to describe the clothing, don't describe it. Especially if it's holding you back from writing the actual story.

Those in the comments continue to read words into this answer which are either not here, preposterous in nature, or just pure trolling. Therefore, I will create a disclaimer below, which I will add to as more comments roll in. Since nothing seems to be stopping that inevitable action.

This answer does not say, suggest, or otherwise imply:

That you should not use words to describe things, because words originate on Earth.
That elves/dwarves cannot/should not use shotguns (why people think this is even a relevant comment I do not know).
That I have no evidence for what I am saying. The answer is built around a logical argument which supports my claims. You are welcome to disagree with it, not to act like it isn't there.
That American and/or European culture is universal and all other cultures are somehow unfamiliar or strange. This answer does not support that view, and comes nowhere remotely close to even suggesting it. If you can find exact lines supporting this view, I will gladly change them.

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