Are there any musicals with sex scenes?

Bill Osco's Alice in Wonderland: An X-Rated Musical Fantasy (1976) ... https://www.imdb.com/title/tt0074113/
trailer - https://youtu.be/SFBHNoju8G0 (note: there are no sex scenes or nudity in this trailer)
There are actually three versions of this film: X, XXX (not released to theaters) and a later released R version.
I saw the X rated version in a theater back in 1976.
I also own the DVD of this film which contains both the X and XXX rated versions.

Asian Babes Vol VIII (karaoke version).

Rocky Horror Picture Show must have come close...

Is "Showgirls" a musical? Loads of nudity, and a really silly sex scene in a pool there.

There's also a real movie called "The First Nudie Musical", which I haven't seen, but which exists.

https://www.imdb.com/title/tt0074533/

I suggest you try improving your rhythm some where other than an internet chatroom.

Annette (2021)
https://www.imdb.com/title/tt6217926/

Marion Cotillard Talks Filming THAT Musical Sex Scene With Adam Driver | ANNETTE Interview
https://www.youtube.com/watch?v=mIceSEFwgMQ