Allergy? Some times very hot shower makes one itch. But if this is a hot Tub bath, may be it is not cleaned properly and whatever is used for Tub bath is irritating your skin. Take a quick shower and use Aveeno or oatmeal soap. Apply coconut oil to smooth and or Bemadryl cream for itching. You will feel better. If you develop rashes despite this then it is time to get examined.