A humanoid test subject known as a Diclonius escapes from a lab someplace, aided by magical abilities. She actually walks through a sea of her own blood. She sinks into it after an unsuccessful attempt to stop her forever with a sniper.
A little later, the two cousins Kouta and Yuka see a nude female standing in the ocean with a strange pair of horns on her head. Without being able to speak anything other than ‘nyu,’ and appearing incredibly lonely and forlorn, the two take her to their home, name her... well, Nyu, and allow her to live with them.
They immediately discover, however, that Nyu is being pursued by some type of group. Will you accompany the cousins with the situation that they face?