The 29-year-old actress, who is pregnant to real-life husband and co-star Stephen Moyer, also said Moyer and Skarsgard are "buddies".
"We feel completely comfortable together. Steve and Alex are buddies. Its nothing like, 'Oh, hi, nice to meet you. Now let's take off our clothes and go into the fog'," said Paquin.
"Everyone is very respectful of each other's boundaries... They're all very gentlemanly about it," she added.
Skarsgard plays vampire Eric as Paquin stars as Sookie Stackhouse in "True Blood".
On embracing motherhood, Paquin said, "I have a side that's very nesty, and another that thinks, 'Let's lock up the house and go away for five months'."
Paquin and Moyer, better known vampire Bill Compton in "True Blood", announced their pregnancy in April.
Moyer, 42, has two children from a previous marriage, Lilac 10, and Billy, 12.