What an interesting research journey I've had to answer your question!
The garment you seek is called a shrug. Here's how I went about
locating the name and the examples for your consideration.
I first found a few links for you by searching
"arm sleeves" lingerie
but these are snug fit gauntlet-type items that don't go all the way
to the shoulder - like arm warmers:
Go to Ebay and typ in lingerie. Browese throught ALL the lingerie and you should find it. I know what you talking about but dont know what its called either. Good luck.
Go to wikilingerie.com and they should be able to help you if not it sounds very appealing and maybe you are on to something that i would be interested in