Thanks to Febrile Inspiration: Zabaniya, which made her skin as hard as Demon Realm Crystal, she had suffered no direct damage from the bullet. But magical energy was rapidly leaking from her body where it had struck. Perhaps it was an effect of the Noble Phantasm.
If the bullet had actually penetrated flesh and made a deep wound, it would have depleted an average Heroic Spirit’s magical energy on the spot.

Fate/Strange Fake: Volume 2, Chapter 3 ("Day 1, Early Dawn")