When the Swede finally finds Merry again, she's wearing a super gross veil made from "the ragged foot off of an old nylon stocking" (5.82). Merry seems to be using the veil to protect the world from herself. She suggests to the Swede that without the veil, she stutters, and that the only other way she knows how to stop stuttering is by dropping bombs.
The veil is meant to protect the "the microscopic organisms that dwell in the air we breathe" (6.1) from her breath, but also to protect the world from her bombs. Only by extremes of violence and non-violence can she speak clearly and find some kind of peace with herself.
Before the Swede tears the veil from Merry's face he thinks:
Where the heel should be was her chin. Nothing is more fetid than something where your foot has been, and she puts her mouth up against it. (6.192)
This observation might suggest something about Merry's self-esteem at the time. Is it possible that the stocking-foot-veil is a symbol of her feelings of being degraded, by her upbringing, by being raped, and by her own violent acts? She doesn't express remorse about the murders to the Swede, but her vow of "ahimsa, or nonviolence" (5. 1) suggests a deep remorse.
Merry has had a bizarre life of which we only know a little bit. If we knew her better, we could better understand what the veil symbolizes for her. It's pretty clear what it symbolizes for the Swede—that there will always be a dirty and inexplicable veil drawn between himself and his daughter.