Actually, she’s observing protocol. Her head should be covered (don’t ask me why) and wear dark colors. Not what I would have worn....
This practice is based on 1 Corinthians 11:4-16, where St. Paul writes:
Any man who prays or prophesies with his head covered brings shame upon his head. But any woman who prays or prophesies with her head unveiled brings shame upon her head, for it is one and the same thing as if she had had her head shaved. For if a woman does not have her head veiled, she may as well have her hair cut off. But if it is shameful for a woman to have her hair cut off or her head shaved, then she should wear a veil. A man, on the other hand, should not cover his head, because he is the image and glory of God, but woman is the glory of man. For man did not come from woman, but woman from man; nor was man created for woman, but woman for man; for this reason a woman should have a sign of authority on her head, because of the angels. Woman is not independent of man or man of woman in the Lord. For just as woman came from man, so man is born of woman; but all things are from God. Judge for yourselves: is it proper for a woman to pray to God with her head unveiled? Does not nature itself teach you that if a man wears his hair long it is a disgrace to him, whereas if a woman has long hair it is her glory, because long hair has been given (her) for a covering? But if anyone is inclined to be argumentative, we do not have such a custom, nor do the churches of God (New American Bible translation)
Also, you have to have your arms completely covered. Every time you see a woman visiting the Pope, you’ll see them dressed similarly.