In most matchups against Athena, one of the two True Final Bosses, Athena comments on how the character should not be in Heaven and needs to be defeated. However, if her opponent is Mai, the conversation topic becomes completely different.
it's very likely Mai is confusing Goddess Athena with the Athena she knows from The King of Fighters.
And speaking of which, what if the opponent is Kim instead?
Kim: "Put on some clothes! Have you no shame?!" Athena:(Comically Missing the Point) "Do you object to my fashion sense? Doesn't it suit me?" Kim: "That's not what I'm talking about! Cover yourself!" Athena: I'm rather fond of this outfit...