Do you ever think about how when Nero and Kyrie were absorbed into the Savior, their bodies, minds, and souls were literally merging into one? That must fundamentally change their sense of self, and being split back into two individuals surely wasn't without consequence?
Nero already puts Kyrie onto this pedestal, and their relationship is far from clear cut when you read between the very sparse lines given by canon. She's like a friend, a mother, a sister. She's his lover. Before the Savior incident the lines between what they are to each other were already blurred. But afterwards they become so inextricably connected that they don't know where one ends and the other begins. And while that helps to understand the other better, it shatters their sense of individuality. What's Kyrie, and what's Nero, is this just me, or is it them?
I headcanon them as having some lingering connection, like things weren't cleanly split when Yamato was thrust into the Savior (and like a mutual pointed out, there is evidence for that, Yamato didn't cleanly sever the human world and the demon world, nor did it do it for Vergil's human and demon halves). Nero knows musical theory in his bones, can read music sheets and sing. Kyrie can take a gun apart and clean it, she knows sword drills even though she was never taught.
It's shared knowledge, but more than that. It's reacting to situations in a way they normally wouldn't. It's a feeling that's not quite their own. It's like an echoed heartbeat. Maybe over time they realize that they can communicate telepathically if they want to. It's not clean spoken words at all, but they know what the other is saying. If they focus enough, maybe words do push through. But regardless, they are never alone. It's no longer 'you' and 'me' it's 'us'.
When Vergil takes Nero's arm it's all the more harrowing. It wasn't just his arm, it was their arm. Kyrie feels his pain, his desperation. He feels her anger and her worry for him. It's a loop of sensations and emotions, it's so overwhelming that Kyrie needs to make a conscious effort to not collapse. Because despite what she's feeling, she isn't the one who's actually mutilated and bleeding out.
When she meets Vergil later on, it's a much less friendly affair. She didn't just feel angry that he hurt her man, she's felt for years what his absence made Nero feel. She felt him dying because of him. Kyrie does have a gentle heart, but she's not perfect, despite what Nero's internal monologues in Deadly Fortune and Before The Nightmare suggest. He's not a reliable narrator when it comes to Kyrie.
He has firmly substituted the concept of 'god' with 'Kyrie' in his mind. He's always doing things for her, and because of her, because it's what she would do and she would like. He puts her in a place of worship where she can do no wrong. And his rose-tinted glasses will never break, because to him she's always right. Even when she's wrong, he doesn't perceive it. She's always good, right, perfect.
This could be a look at codependency through a fantasy lens. I don't know if I have the chops for this, but it's a very intriguing concept. I focus a lot on the disturbing aspects of it because, personally, that loss of individuality is very unnerving. However, I do wholly believe that both Nero and Kyrie would find comfort in it. It just fits them, this complete unification. They are messy and complicated, obsessive, devoted, yet genuine. It's the kind of thing that rides the line between deeply romantic and frightening. Which is thematically perfect for a franchise so heavily inspired by the gothic.
Kyrie is a character that I've always seen as less pure and benevolent than she's portrayed to be. I think Kyrie is genuine in a lot of the good she does. But there are these subtle hints in 4 of self-satisfied smugness from her. Part of her revels in being perceived as pure, in having this blessed-by-Sparda knight who lives and breathes for her. She was raised in a religious cult you don't come out of that with normal views of the world and of how things should be. What's acceptable, what isn't. Let her be a little messed up, let her live out her repressed urges vicariously through Nero's rebellious nature. It makes sense, and it's very compelling. Just because she's not a fighter, it doesn't mean she has to be bland. I wish canon gave her a more solid characterization, and that they went that more spicy route. But as it stands, she seems to be as perfect as Nero perceives her as, and that's boring to me. It's hard to have a different interpretation of her in the wild, because a good chunk of the fan base leans into the most easy, and surface-level read of her character, and can get vitriolic about anything different.
To close this out, I'd like to offer a fun little Nerokiri headcanon of mine. A little scenario, if you will.
Nero and Kyrie are kind and sweet and will open their home to anyone who needs it. Sometimes a tourist will need a place to stay, and they'll gladly offer their own roof. Every now and again one of these passer-bys will catch their eye, and underneath their warm and welcoming smiles, they'll find predatory hunger. They're the kind of couple tourists meet in Europe, who may or may not be inhuman, and they'll rock their world and ruin them for anyone else in the span of one vacation.
Fortuna may have been heavily inspired by catholicism, but they were still very much under a demon-worshipping cult. You don't need to copy-paste every christian prejudice and concept into their culture and society. My point is that these people are freaky. They just have to be.
1. Canon is a suggestion.
Open your mind, be free and have fun.