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From her pink hair to her "Romeo and Juliet wouldn't have lasted" tee, Mae is a unique individual. At first Nick takes her for someone who's working really hard to get noticed, and to some extent he's right—Mae does, after all, go out of her way to stand out. (People don't generally dye their hair pink in order to blend.)
This is why Nick mistakes her curiosity about the Goblin Market and all things magic as some sort of attempt to further distinguish herself from others, but his mind is changed when Mae clarifies her interest in the dancing ritual:
"If it's just steps along those lines, I can do it. I want to do it. I want to dance. I can ask the demons to help my brother myself."
Of course it was all about helping her brother, and nothing to do with being a dazzled tourist. (5.40-41)
When it comes right down to it, Mae is Mae is Mae. She's smart, feisty, independent, determined, and—above all—fiercely loyal to her brother… just like somebody else we know.
"It's not May like the month. […] It's Mae like Mae West." (2.24)
Of course Nick scoffs when Mae makes this pronouncement, but we doubt he's scoffing a few chapters later when he and Mae are dancing inside their magical circle (ooh la la). That's because Mae actually has a thing or two in common with her namesake. She's witty, yes, but she's also alluring and sensual, and she piques the interest of both Ryves brothers. In this way, Mae helps to accentuate their differences.
Both Nick and Alan are attracted to her, but they approach it in different ways. Nick's lust shows us his animal side, while his attempts to push Mae toward his brother highlight both his love and loyalty for Alan as well as his sense of right and wrong. Alan's cautious yet deliberate approach to Mae mirrors the way he approaches everything—with a well-calculated plan.
As for Mae, she's too smart—and too preoccupied with her brother's safety—to get drawn any further into a love triangle at this point. As she tells Nick, she's "not territory to be fought over," and she "won't let herself be used" (12.77).
Furthermore, Mae resists being relegated solely to the role of "romantic interest" in The Demon's Lexicon. Yes—she's feminine, she's attractive, she's flirty, and she's comfortable with her sexuality—but these qualities don't minimize her. Instead they give her power. She is the one in control of her relationships with the Ryves brothers. Indeed, if Mae does become more involved with one of the brothers at some point (in one of the sequels), we have to believe it will be because of her own deliberate choice.
As Mae tells Nick, "I trust Alan, but I don't rely on anyone. If I have to, I can kill a magician myself" (12.81). And then, after getting the blueprints for the magicians's lair and helping to form a plan of attack, she does just that. And consider this: Mae is the only one of the four who possesses neither vast experience with fighting and weapons (Nick and Alan) nor magical power (Jamie), and yet she jumps right into the fray and holds her own.
As far as we're concerned, she can dye her hair any old color she wants.