User blog comment:Jopjopjop/Volume 20 Spoilers/@comment-178.128.187.173-20150909081922/@comment-3290441-20150920142435

The More likely explanation is that in a similar manner to Ophis and her snakes Issei's Wyvern fairies merge into Rias's body forming crude scale mail armor that would likely be improved over time assuming that the series simply doesn't die at this point.