For those of you who haven't played Bayonetta, a bit of background: the game isn't just about a pretty lady with gun shoes losing her clothes. There's also magic! To be precise, magic rests in the hands of the Lumen Sages and the Umbra Witches, denizens of the worlds of light and darkness. These worlds are ruled by the light goddess Jubileus and the demon queen Sheba, deities that some fans suggest are two parts of the same godly whole.
This idea works well with the game's mythology, which states that the three planes of reality used to be one, but were split an eternity ago. Since Jubileus and Sheba each hold dominion over one plane, have similar powers, and look identical but for their coloration (and, well, size), some fans suspect that when reality was divided, so was its godly ruler. Given the light-and-darkness-as-one theme the game is going for, this transformation seems pretty convincing—it's only slightly weirder than anything that happened in Bayonetta’s predecessor, Devil May Cry.