If there's anything we've learned from watching several seasons of American Horror Story, it's that everything matters. Whether it's allusions to an overarching theme, clues to a grand theory, or callbacks to another season, nothing is simply a throwaway. So when presented with a mystery like Apocalypse's Mallory, we have to look at everything presented to figure out exactly what's behind that Cindy Lou Who topknot. Is Mallory just a powerful witch, or is she a great deal more?
So far, everything we've seen of Mallory points to her being a witch with an interesting set of abilities. Myrtle even suggests that Cordelia consider Mallory as the next Supreme, which serves as incredibly high praise from the older witch since she's seen a few Supremes in her day. But there's more to Mallory than just her powers — her entire imagery preapocalypse gives us angelic vibes. From her innocent persona, soft voice, and propensity for wearing laurel wreaths, it's not hard to pick up on the divine clues. After all, this entire season has a major biblical theme going on, evident from the current battle with the Antichrist. An angelic intervention isn't too far-fetched, so why would Mallory being an angel be such a big deal? Because she just might be the key to defeating Michael.
Michael is cool and cunning, and he always seems 10 steps ahead of everyone else. No matter who he's talking to, he seems to know how to manipulate them to get what he wants — except for one person. In episode three of Apocalypse, Michael interrogates Mallory under the guise of judging her for access to "Sanctuary," and we witness the first time Michael loses his composure. When he moves to stop her from leaving, Mallory unknowingly uses her powers to throw him off and blow up the fireplace. Michael is visibly shaken and asks her who she is, but at that point Mallory doesn't have an answer.
This entire interaction is important for several reasons, especially in terms of identifying Mallory's origins. Michael's confusion over Mallory's power has a healthy amount of fear mixed in, which is the first time we witness that from the Antichrist. Whether he's just startled or genuinely afraid of her power, his fear means that Mallory has already done what no other character has been able to do: intimidate him. His confusion leads him to perform a satanic ritual to ask for power from his Father. He laments that he thought he "destroyed them all, but one survived." Our first thought would be that he means witches, since we later learn that Mallory is part of Cordelia's coven. However, this doesn't quite add up with the events that preceded the altercation.
In conversation with Dinah Stevens, Michael hints that he knows her and is surprised to see her. Dinah responds that she isn't strong enough to stop whatever he has planned, and Michael tells her, "You're exactly the type of soul I'm looking for to build my new world." As we discover later on, both Dinah and Coco are also "sisters" of the coven; Dinah is a voodoo priestess and Coco another witch. So it's safe to assume that Michael knows witches are still around. He must be speaking about something else when he refers to Mallory as part of "them."
So we know that Michael is afraid of Mallory and she's part of a group that he attempted to destroy before — but not the witches. Since we know Mallory has considerably impressive abilities, we have to assume that whatever she is, it's powerful enough to pose a threat against the Antichrist and his "new world." Which makes the idea that Mallory is actually an angelic, Christ-like foil to Michael even more probable. It also serves to set up how Apocalypse will end — with a huge battle between Michael's forces and Mallory's.
From what we've seen in the past episodes, it would make sense that Mallory is more than a witch. Michael has already proven that he is stronger than the magic of warlocks and witches, so someone with his level of power would be needed to defeat him. As an angel (maybe even an archangel), Mallory would be the exact opposite of Michael — the son of Satan vs. a "daughter" of God.
Whether or not Mallory's nature is a divine one, she's definitely someone to watch out for as Apocalypse's story unfolds. We'll just have to wait and see exactly how it all plays out.