When all three have been sealed away from the world, for their own unique reasons, it's only natural that fans will do things like this. They're almost kindred spirits.
Hazankob said: I've always assumed they were just the 3 EX stage lolis, then proceeded to wonder why Suwako wasn't grouped with them.
Nue isn't usually depicted as a little girl, though.
Nue and Flan have weird wings and a trademark weapon. Heian Alien sounds like UN Owen. A few of her cards reference Flan and some other people. Both got sealed away.
Koishi and Flan are both younger sisters who are EX bosses, arguably stronger than their elder sisters, alienated from said sisters, and are certifiably insane. Danmaku Paranoia and Philosophy of a Hated Person are very similar to Maze of Love and Kagome Kagome.
You can also see them as young rabblerousers loosely affiliated with their main groups: Nue tried to stop Byakuren and then became a part of Myouren Temple, Koishi wanders away from Chireiden a lot and Flan never shows up with the rest of the SDM in games/official works (except in the Tengu Shooters and as a silhouette in Inaba).
The correct answer is "they look cute together", but there's reasoning behind it.
HT_Rock said: ...Heian Alien sounds like UN Owen...
For the love of crud, no it doesn't! It's only just a certain sequence of notes that kinda sounds the same, I say kinda, because they aren't the exact notes. why do people keep saying that?!
Edit: Although I kinda see it... although I'm half expecting a protrayal of Nue as a psychotic murderer or something, like Koishi in heart-throbbing adventure.
Love their little tears and direction of their eyes, indicating someone just walked in on them having a tickle/play-fight on the bed, seeing them all bundled up closely together like this. Potential misunderstanding material right there.