Anastasia could be a fictional character created specifically for this Christmas story. She might be a kind - hearted girl or a mysterious woman with a connection to the Christmas magic in the story.
The characters can be integrated by having them meet in a crossover world. For example, Naruto characters could be transported to the Claymore world and vice versa. They could then exchange their fighting techniques. Naruto characters could teach the Claymores about chakra control, while Claymores could show Naruto characters how to use their yoki - enhanced weapons.