My personal opinion is that UFO-Marisa doesn't exist.
Well, she does exist, just her smock doesn't exist. There's no possible way for the smock to have been conceived in touhou canon. Marisa would not take the time to make it, Alice wouldn't have made a Smock with a Giant M on it just to give to Marisa (Whether it's because Alice doesn't like Marisa or because Alice already gave her a Mantle to use during the Winter of SA), and absolutely no one else in the Harem will even take the time or has the patients to sew for somebody else.
Basically, the only way I can imagine Marisa Wearing a Smock like that is some Japanese guy going "Marisa will never wear a Smock like that." and due to Rinnosuke's theory on the outside world's beliefs, the Smock just appeared in her closet.