I love the idea! Dread Pirate Anthy is hilarious to me somehow.

Maybe it would work by going at it with the kind of absurd humor surrounding Anthy that turns creepy as the story unfold? (especially with Nanami) Anthy does have a thing for sneaking around in the background, disappearing and reappearing. And she's someone used with "playing roles", between the Rose Bride and her creepy witch side.