Claudia's long hair is very light ash blond. She wears her hair down, tucked in behind her ears.
For some reason she doesn't have eyebrows, but noboy expects you to really shave yours off for the costume - unless you really want to. Instead you could carefully bleach them to make them less visible.
She also is very pale, so if you want to you can try to use some light colored make up to make yourself look a little more pale.

She wears a long, very wide black dress made from some coarse fabric. Over top of the dress she wears a long jacket with a stand up collar made from the same material.
The jacket has only four buttons on the upper half of it, the bottom button is not closed.

Another important detail is that Claudia is not wearing shoes. Obviously this is something that high priestesses of the Order just don't like, after all Dahlia too was shoeless.

An interesting variant of this costume would be if you would paint a lot of red lines all over your skin to look like Claudia at the very end of the game.