"Okay, I didn't actually have the wings right away when I died. Most demons aren't dead people, they just happen, I have no idea why or how, and those have bat wings. So when dead humans become demons we make ourselves matching wings, since, flying, awesome, and looking like an angel in Hell, not so awesome, and fairy wings don't actually work, they're for decoration, fairies are telekinetic, so that kind of limits our options. I'm pretty sure no real bats have blue wings."