It is implied in the (admittedly scant) “AHS” overarching mythology that all Salem Coven witches somehow get their power from Scáthach, Lady Gaga’s character from “Roanoke.” Scáthach gets her power from the Old Gods, whoever they are. Ryan Murphy confirmed to HuffPost that Scáthach is the first Supreme, which implies that the Coven’s power is kind of evil. Mallory’s power, on the other hand, seems wholly good. Perhaps that’s why Reddit users overwhelmingly voted in a poll that they’d hoped she would turn out to be at least part angel.
Michael’s demonic backstory is that he’s the product of ghost-human relations. The ghostly presence allowed the Devil to come through, making Michael what Dungeons & Dragons players would recognize as a Cambion: half-human, half-demon. Reddit users wanted Mallory to be Michael’s inverse: half-human, half-angel. Christian folklore (and “Supernatural”) call such beings Nephilim.
If Mallory was part angel, it would open the “AHS” mythology in a way we haven’t seen before. “American Horror Story” has always been somewhat grimdark in its mythos. It sometimes seems like there’s a hell in “AHS” but no heaven. Mallory being descended from the forces of heaven would bring balance to a somewhat lopsided worldview.