Is Cross-Dressing While Dressed Up Actually Illegal?

One of my favorite games is to get dressed, (Let’s say French maid or something obviously kinky, but not revealing any parts of my body that shouldn’t be in public.) drive to a somewhat remote street, and drop off a spare key at some hiding spot. Drive a block or two away, then lock myself out of the car so that I have to walk dressed to get the key.

My big fear is that a cop drives by and arrests me. I assume that cross-dressing isn’t technically illegal anywhere, but how much leeway does a cop have? If he just decides he “don’t like your kind around here.” Can he arrest me for no other reason than that? Is this worry unfounded, or does it have merit?