[Maybe Thalna is a descendant of something akin to a archangel in this world?
My doubts about Thalna having any angel blood is all down to what Catha said, Vanth's demon and angel sides don't mix and she looks twisted when she changes.
Thalna doesn't have that problem. Both her wings look great and she has no signs of anything.
It wasn't until she sarted using her powers properly this update that she showed any changes at all and that's just her hair.
I don't think she's a half breed at all, there is a reason Queeny went against hells own rules to allow Thalna in and I think it's the same reason she took Catha.
Whatever Thalna is, Queeny wants to either study it or it's power.
I think that's why she sent Thalna after the Succubus group and why she didn't take Catha back by force. She's using Catha to grow Thalna's power.