I assumed the gray skin thing was makeup. I can't remember much of Birds of Prey, but I don't think we saw her out of costume much. I guess it was so she can hide better? Idk. I liked that costume a lot too. Katana with a simple costume just makes sense.
Do you guys think we'll ever see her in the movie universe again? Suicide Squad may not have been the best, but I liked her in it haha.