This strip has confused lots of people. For the record, Walter is obliquely referring to a certain past relationship with a certain vampire (male, though he looked rather girly at the time). It isn’t canon in Hellsing, but it’s part of Shine, so I throw in references to it from time to time.
Integra: Much as I hate to do this, Walter, I’m going to have to put you in charge of Hellsing for the duration…
Walter: I don’t think I qualify under Puritan rules either, sir.
Integra: What is it now?
Walter: I’d prefer not to give details.
Integra: …Right then.
And we certainly can’t have a Satanic creature leading a group of Puritans.
Alucard: Can a Puritan lead two Satanic creatures?
Integra: I didn’t ask for your opinion.
That rules out Alucard and Seras, which leaves us with…
Seras: Oh no.
Pip: Hey, I like this now!