A made a little search about this weapon on different character.I'll begin with Rika...
Quite simple, we see this picture in the beginning of the game :
As we can see, its an external device of claw.
As for Mieu, we can see some picture with her claw too...
Its a little picture, but we can see her claw, and its external too... I found this picture too, its quite the same thing I think
As for Nei, I found this picture :
On the top right, we can see Nei is wearing no weapon... BUT!, we can see below her, another picture of her with her weapon! Its not like the others. Its more like claw on her fingers on something like that...
That was Gryz, for Psalgo ^^