Arya is cosplaying as the Valkyrie in the movie Thor: Ragnarok, but with the outfit from before the final battle, the one she wears when she is still hiding her true identity and goes by Scrapper 142, only this time she is favoring charm and sexiness instead of swordplay, which can be a very effective tactic to emerge victorious in a battle.
We can see how comfortable Arya is with her sword and how fearless she is, since at one point of this CosplayErotica set she poses while confidently caressing her cheek with her blade in an almost loving fashion. She is so attached to her sword that even if all her clothes disappear from her body, this Asgardian warrior still grips it with the same determined look in her eyes that shows us that she is as beautiful as she is deadly, and she is ready to protect her world at all times, no matter the circumstance.