Nezuko in the final episode of Kimetsu No Yaiba – to the swordsmith village arc revealed one of the biggest turning points in the series yet. In Demon Slayer, demons turn to ashes when exposed to sunlight, but Nezuko, did not and there’s more to her immunity, which remained a mystery in the manga.
In the Finale of season 3 of Demon Slayer, Tanjiro after killing the Upper Moon Demon 4 – Hantengu drops to the ground and cries as his sister sacrifices herself to save the others. Tanjiro realizes that his sister who is a demon has turned to ashes but to his surprise, she did not.
The season has a notable ending with 3 Upper Moon Demons dead and Nezuko being immune to sunlight. However, it is not a happy ending as Muzan sets his sights on Nezuko, as consuming her would make him immune to sunlight and then complete his immortal form.
Theories for Nezuko’s Immunity
1. Nezuko’s family heritage
If fans can recollect, season 1 of Demon Slayer touched on the Kamado family and their heritage. Even though they are coal gatherers, Tanjiro’s family belongs to a generation of Hinokami Kagura users aka Sun Breathing. In one episode, Tanjiro’s father, Tanjuro Kamado is seen using the Hinokami Kagura dance as part of a ritual with the Sun God. Other Breathing techniques are based on Hinokami Kagura.
Possibly, having the ancestry of sun breathers, she could be immune to the sun, as the users are often seen manipulating solar techniques while unleashing its techniques.

2. Blue Spider Lilly
Taking a look back at Muzan, he achieves immortality and strength after taking a doctor’s medicines while he was sick. However, there was one flaw to this medicine, Muzan could never be directly under the sun.
After further investigating, the doctor’s journal, Muzan finds that a flower called the Blue Spider Lilly can be a cure, however, only the doctor seemed to know the location, who Muzan had killed previously.
Muzan travels (during the night) all over Japan to find the Blue Spider Lilly but to no avail. One theory arises, that Nezuko may have stumbled upon the Blue Spider Lilly and accidentally ate it. Another theory could be that the Blue Spider Lilly was found near the Kamado family, and might have been consumed by Nezuko while she was still human.
Only Muzan, and Upper Moon Demons, who have large concentrations of Muzan’s blood are capable of turning humans into demons, which can explain why Nezuko was converted into a demon because she had eaten the Blue Spider Lily.

No explanation has been given in the Manga (Kimetsu No Yaiba) over Nezuko’s Immunity, so fans are hoping that in the coming season of the anime, the questions are answered. Lady Tamayo who already predicted Nezuko’s Immunity, could possibly give an explanation of Nezuko’s Immunity in future episodes.
Source- Ufotable