Mai isn't trying to be anything other than what it is: a 1993 OVA where the plot exists so a supernatural counselor can end up naked solving every case. The comedy works because it commits fully to the absurdity instead of pretending there's a reason for it. You're either on the wavelength of "yes, this is exactly the stupid thing I want to watch right now" or you're not, and if you are, those four episodes know exactly how to deliver.
Mai Waku runs a consulting firm that takes on supernatural problems, and for many of her clients she is the final hope when nothing else has worked. She will do whatever it takes to finish a job, but her irresistible sex appeal keeps getting in the way, and she nearly always ends up naked partway through a case. Her clients range from famous celebrities to innkeepers, and each assignment seems to land her in yet another awkward, unclothed predicament in front of the people she is trying to help. The four episode OVA mixes comedy, ecchi and the supernatural.