The Demon Nurse wears basically the same dress as the Bubblehead Nurse. The big difference is that here the front half of the skirt is almost knee-length while the back half barely
covers her bottom. Let your creativity flow when it comes to altering and staining the dress; tea, coffe, paint, spray paint.
Keep in mind though that just like almost all other Silent Hill creatures the Demon Nurse has no actual blood stains on her dress. All stains are very dark rust-brown, black and dark gray with - according to the artwork - hints of yellow and green.

The face of the Demon Nurse is human, with her eyes always closed. Thus the developers didn't even bother making eyeballs for this monster as I learned from checking the 3D model.
Her face is pale and her eyelids purplish. The mouth area is covered in a big red rectangle and the lips are dark purple.
The Demon Nurse's hair is deep black, chin-length with bangs. Wigs like those are easily found for a very low price, the hat can be attached with bobby pins.
On the artwork the hat shows a teal line on the top edge, this detail was abandoned on the ingame version though.

Also the Demon Nurse's index, middle and ring finger are merged too. Her gloves look like rubber gloves, you can easily imitate the merged-finger effect by glueing pieces of another rubber glove over/around those three fingers. Just make sure you wear the gloves while you do that to ensure that you have enough room in the gloves later on.

It seems like the Demon Nurse might be wearing a pantyhose since the color of her legs is more gray and at the same time more even than the color of her arms and cleavage.
Her shoes are white pumps without heel. Those are probably rather difficult to find, but no one will really complain if your shoes have a little heel on them.
Also, for some reason the Demon Nurse's shoes are quite clean compared to the rest of her outfit.

A rusty steel pipe or a fake revolver are good choices if you want to have some props.