Some of you don't get the point of the photo shoot.
The point was to recreate the famous nude photo shoot that Marilyn Monroe did. As the web site says, it's to an extent a theatrical performance. She's playing the character of Monroe through pictures.
So, of course, she's going to have a wig, and of course she's going to put a veil on, and of course she's not going to do Playboy-esque poses.