Joan's quite a character, maybe the most interesting of the lot. She's bold, clever, and unafraid to break gender stereotypes of her day, plus she comes from poverty but manages to win the support of the French nobility. She's a fierce warrior, better than most of the men in the play, and on top of that, she's a whiz with language, maybe even as good as Henry V was.
Having a hard time picturing this lady dynamo? Imagine someone like Natasha Romanoff/Black Widow, whose bold moves, cleverness, and ferocity let her excel in a military landscape often dominated by men. (To be clear: We're talking here about the historical fiction version of Joan as Shakespeare presents her, not the actual historical figure who was later made a saint by the Catholic Church.)
Another way Joan's like Natasha Romanoff is her ambiguous moral status in the play. What makes Natasha so endlessly fascinating? It's partly that we're not quite sure where her moral lines are drawn. Unlike say, Captain America, who tends to stick to a pretty clear moral code, Natasha seems more comfortable with moral ambiguities, and it makes her harder to predict and really fascinating. She's definitely loyal to certain people—look how much she does to help Hawkeye and Steve Rogers—but it's not so clear what she's going to do in any given situation.
Joan's status functions similarly, because for most of the play we're never quite sure where she stands in the moral world of the play. Is she a saint as the French think, morally pure and chosen by the Virgin Mary to rescue her country? Or is she a witch, in touch with evil supernatural powers and able to manipulate people to her ends, as the English claim? It creates a fascinating question and makes Joan all the more exciting as a character. Joan seems thoroughly loyal to France, but what does that mean for her?
Offhand, it would seem like a major difference between Joan and Natasha Romanoff is the way they interact with their gender and sexuality. While Natasha skillfully uses her sexuality to manipulate male baddies before blowing them away, a lot of Joan's power seems to be based on her ability to identify with the chaste Virgin Mary. Joan claims that Mary commissioned her to save the French, and like Mary, she describes herself as called by heaven to a task that requires chastity.
But they may be closer than it seems. Both characters cleverly use their gender—which is stacked against them in this era—to influence situations in their favor. Joan is brilliant in identifying herself with the Virgin Mary because Mary is the most powerful saint in medieval Catholicism because of her gender.
As the woman who gives birth to Christ in Christian theology, Mary is seen as the mother of God, a role that only a woman could fill. By describing her role as commissioned by Mary, then, Joan is asserting that her status as a woman and a virgin grants her supernatural power. This heads off other concerns people in the time period have about women fighting in battles. It's a brilliant move.
But is Joan trying to have it both ways? To get the cultural status of a virgin blessed by Mary and utilize the sexual power over men that Natasha Romanoff uses so cleverly? The English continually assert that Joan is sexually loose, which is no surprise since they're her enemies. But the French nobility also keep cracking jokes about Joan and Charles. Is there something to it? The text isn't clear, so a lot depends on how the director decides to stage the play.
All this ambiguity makes Joan fascinating, so why does the play eventually end a lot of it by showing her calling on demons? It's probably because of historical expectations from Shakespeare's audience. At the time, England had recently become Protestant, and English Protestants were very suspicious of figures like Joan of Arc. Most Protestants didn't really believe in praying to saints like Mary, so a claim like Joan's that Mary had come to her in a vision would have seemed suspicious to them.
Also, many of England's traditional political enemies, like France and Spain, had remained Catholic, so English audiences perceived Catholicism as not just a religious difference, but a political threat. So Shakespeare's English audience is more likely to think that Joan's supernatural powers come from demons than from saints. And a bard's got to eat, yo—and sometimes that means keeping your audience satisfied. Or, you know, inclined to come back and watch the next play you write.