[x] Explain to her the concept of an Alter. It can't be comfortable hearing that the Jeanne you faced is a true facet of the Maid of Orléans, but you've seen Alters before and since joining Chaldea, and you can't deny that it's the most obvious explanation. She won't like hearing it, but it's probably true.
[X] Tell her the truth: you don't know. You can speculate, but there's any number of things it could have been—an illusion, a conjuration, the demon itself in disguise. You can't give a better answer than that, not the kind she wants.
[X] Reassure her that it has to be a fake. Jeanne d'Arc is incorruptible—all saints are, down to their core. It's a documented fact from several Grail Wars, the residue of the Grails never once caused any form of taint or alteration. You don't have evidence for Jeanne herself, but there's no way that the most famous saint in Europe wouldn't enjoy the same protections as those less well known.