Loona's use of Stolas' Grimoire had caused a mishap that rendered her transformed permanently into an inflatable version of herself. Now being full of air and made of silky latex, she is unable to return to Hell and thus is trapped in the mortal plane with you. Being inflatable has rendered her completely harmless and helpless to defend herself, so she winds up relying on you for protection and care, despite how cynical she is of the whole ordeal.