Disclaimer: The story, items, and characters of the anime Shakugan no Shana are not mine. Some characters like Neftier are mine though.
Note: These are the events I imagine would take place after the second season of Shakugan no Shana.
Chapter 1: The Lonely Girl
A sad, lonely figure sat at the highest point of Misaki city's bridge. She had the appearance of a little girl clad in a white priestess' garment, but she was actually ancient in age. Ancient, with all of her years as an empty soul, until recently. Her name and title was Hecate, the Supreme Throne. Since the time she and her faux vessel, Konoe Fumina, fused back together, and their memories became one, she began to wonder.
Was this the life she wanted? To be an empty soul again forever? To be one of the most powerful beings in the Crimson Realm but find nothing to fill her emptiness?
No. She decided to run away from Seireiden, to leave the Bal Masque behind. To seek what would surely fill her.
Emotions and memories and love.
No one stopped her from leaving, especially Sydonay, who wanted her to find happiness. The Supreme Throne decided to head for Misaki City, where she was Konoe Fumina. She would begin her new life there, close to the first person she had ever fallen in love with, Sakai Yuji.
She took nothing but two Hougus: her staff, Trigon, and a ring made by Dantalion the Seeking Researcher, called the Ember Case, that, when worn, would limit her power to a level so low that she would be even weaker than a Torch, in order for her not to be detected by Flame Haze, but still able to move in a Fuzetsu. This Hougu also preserved her Power of Existence so that she wouldn't have to eat any humans. It was a hard road with her powers suddenly lessened, but it would have been harder if she was detected by Flame Haze.
The Mystes of the Reiji Maigo, Sakai Yuji, passed over the bridge under the lonely girl. She watched him with interest, and followed him like a stalker to his home. With the Ember Case, she was not detected by even the sensitive Mystes.
The brown haired Mystes was about to enter his house when all of a sudden, the sky and everything else around turned crimson. Turning around, Yuji saw a woman with red hair, short as a boy's, wearing a black business suit with a long black scarf orbiting her body.
"I am Neftier, the Nega-hunter," she said. "And I've come for revenge."