A little black cat that is always with Shia who was named by Misha (since the sound a cat makes, "nyo" or "nya" in Japanese). He insists that it is not his real name, but he never reveals it (only in the manga). Nya, who is a full demon, despises Sasha (and the feeling is mutual).

It is seen also in manga, that Nya can actually take a human form of a young boy.
(Source: Wikipedia)