Appearance
Like all mazoku, Zellas has more than one form. Her natural or "astral" form is unknown, though we can take an educated guess. We know Xelloss's astral form is an elongated black cone, so Zellas is also most likely a dark shape of some sort. This is the true appearance of a mazoku, beyond all disguises and tricks. Usually, mazoku only take on their natural forms while on the astral plane, but they are known to sometimes use manifestations of themselves to do battle. We see an example of this in TRY when Xelloss did battle with Valgarv and attacked him with small, black cones. Perhaps Zellas is a pyramid or a cylinder, though at this point it's anyone's guess.
Zellas's second form is her demon form, the look she uses to strike fear into the hearts of her enemies. In Zellas's case, her demon form is that of a large wolf with long claws that stands on two legs. She has a single feathered wing on her left side, and a long tail similar in shape to that of a large cat's. She wears simple upper-body battle armor lined with fur, a spiked headband, and carries two large swords. It should also be noted that she has mismatched eyes, one with a white cornea and the other entirely black. Though unconfirmed, there may be something wrong with the right, white eye- it may not be that way naturally, but rather was caused by some sort of battle scar or other accident (though this is very unlikely for a mazoku). In any case, her eccentric appearance honours the fact that she is, indeed, the King of Beasts.
And of course, Zellas's third and final form is one that can pass off as human. Her appearance differs quite a bit between the original novels and what little we see of her in the anime. In the novels, she is described as looking about 20 years old, "tall, with short blond hair, which was the color of the sun. She didn't have a severe look, but [I] got an impression that she was very keen. She wore normal traveler's clothes, without any weapons." (Novel #15)* In the anime, though we never see her face, we do see her legs and half of her torso. In these clips she appears to be an elegant woman with long, wavy blonde or silver hair, tan skin, bracelets, a white dress and pink heels (^^;). She also seems to have a love of cigarettes. The two representations of Zellas are drastically different, but both are technically canon.
The fact that Zellas has so many forms is a testament to her power. It takes little to no effort for a mazoku to simply exist on the Astral Plane in their natural form, but it takes some significant amount of power for a mazoku to take on some kind of physical form, and a very large amount of power to appear completely human. Seigram for example, is not powerful enough to appear human and so must remain in his monstrous form while on the physical plane. However, Xelloss is powerful enough to appear almost entirely human, save for his unusual eyes. Zellas, one of the most powerful mazoku, can appear completely human at will. However, in stands to reason that she uses less power to maintain her monstrous wolf form than to maintain an entirely human form. This may be one of the reasons why she wears her battle armor in wolf form- it's more practical to do battle while using less power to keep up appearances.
*Description courtesy of QP's Slayers Site.