Here's the PSD! I wish I had a bit more process to show with this one, but here's what I've got.
The imps are pretty tiny here in comparison to Loona, but watching the show I found the character scales weren't that consistent. There were some scenes in episode 6 where Loona picks up Millie and carries her around, and those were close enough for my purposes.
The stone pattern is referenced from a Quake texture by Makkon.
The dildo is a Bad Dragon one, tweaked around a little bit to fit my purposes for the picture. I think a commenter recognized the specific model immediately which was pretty funny.
I'd originally planned on having Loona fully naked, but she looks a bit less recognizably Loona without her trademark leggings. They also let me keep the focus of contrast up toward the top part of the picture where I wanted it.
I couldn't quite figure out how to shape Moxxie's haunches on Loona's lap in a way that looked anatomically correct & also had some weight to it. I'm trying to add more squash and stretch to my drawings in general, so yall can look forward to more attempts!