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!