Didn't expect the demon nun to use holy magic, though if this is the sort of world where that's just inherently inimical to them, that's dumb.
Could very well be that demons are, for the most part, just a humanoid species within the game's world and I suspect that Dahlia may not be a full demon (in the chapter where her demonic nature is revealed, special attention is given to the full moon which influences her appearance), so she's possibly more tolerant of casting holy magic than a full-fledged demon.