To defeat a Blitz as Nero, quickly lower the Blitz "electricity shield" by using charged pistol shots with Devil Trigger activated. The most effective method seems to be as follows.
Charge a shot. Go into Devil Trigger. Release the shot, maybe a few more. Turn off Devil trigger, and repeat.
-This will give you Super Smokin Stylish before he has even dropped his shield. This will work even with a level 1 Charge Shot, and should be much easier if you have level 3. Once his shield his gone, use Devil Trigger again, then Devil Bringer to devastate him. Three throws is enough to send him into "red mode". Once he goes red he will attempt to grab you and suicide himself to significantly drain your life, or kill you. Shoot normal shots at him to get more Smokin Stylish points at this point, and finish him off handily.
-To defeat a Blitz as Dante, use Royal Guard style along with the Gilgamesh gauntlets. While the Blitz is in his yellow "electricity shielded" state, get close to him and press [Melee] + [Style] repeatedly and quickly. You will be performing a punch and canceling it with a Royal Block at a fast pace. Think of the [Style] move as the attack. Attempt to constantly use [Melee] + [Style] repeatedly. You will raise the letter grade of your style meter with each hit, and quickly lower the electric shielding. You are basically hitting the shield yourself, then blocking that hit so fast that you cannot see it happen. Again, just press [Melee] + [Style] at the same time. This might be tricky at first, but eventually becomes easy. Once his shield is lowered, immediately switch to swordmaster style and use Real Impact uppercut with the Gilgamesh gauntlets at least twice. Throw in a Kick 13 if time permits, and/or a Shocking. He will go into his overdriven "Red Mode". Quickly switch to Lucifer and perform Bondage. If done correctly you should finish him off and get a huge stylish ranking out of one Blitz.