If I take it seriously, my theories are these:
1) She faked her death and had it planned with Rio before their fight, yeah, even her arm (Almost not possible). The floor she got stomped against wasn't actually solid, it was made of wood.
2) We've seen in KB that you can re-attach a lost limb through a specific medical treatment but it takes time, all I can guess is that Shido or other scientists have been developing a healing s*t to re-attach limbs in less time.
3) All this might be an illusion because of how much blood Shido has lost, and the one who protected him is actually someone else (Hitomi? Maybe?)
4) A mix between all the previous ones.