Learn Portuguese (Portugal): A roupa interior está no saco.

In Portuguese, roupa is a singular feminine noun that acts as a collective word for 'clothes' or 'clothing'. Even if you are talking about multiple items of underwear, you still use the singular phrase a roupa interior.

I have also heard the phrase roupa íntima for underwear. Is that used here?

You will hear roupa íntima mostly in Brazilian Portuguese. In Portugal, the standard and most natural term to use is roupa interior.

Why doesn't the adjective interior have a feminine ending to match a roupa?

Adjectives that end in -r (like interior, exterior, and melhor) do not change for gender. You use the exact same spelling for both masculine and feminine nouns.

What kind of bag is a saco?

A saco is usually a flexible bag without a rigid structure, such as a plastic grocery bag, a paper sack, or a sports duffel bag (saco de desporto). If you are referring to a woman's handbag or purse, you would use the word mala in Portugal.