Chastity at Midnight(2001)

Mayonaka wa Junketsu

The story is that a mysterious woman fights with a baldheaded leader of an evil secret society. Sheena played the woman and Masato Minagawa, a keyboard player of her band, played the enemy's leader.

Her pet cat "Goethe" also appears in the music video as a cyborg cat. The heroine was named "Mayo Kiyozumi" (潔純真夜 Kiyozumi Mayo) according to the anagram of the song title.

(Source: Wikipedia)