Yep he is wearing a diaper

But if it makes you feel any better it kinda looks like he's wearing a diaper here:

Sorry reuploaded

There's literally a sticker where he's wearing a diaper around the onesie

Nice to see Finnick's gotten that growth spurt he's always wanted

Fair. Then again even outside of costume his butt is a little on the round side

Also look how round his ass is here. He's definitely wearing a diaper the tail being stuffed in only explains so much especially seeing as you see the tail bump in the second pic and the rest of his ass still looks round