He does, and is treated to a lovely surprise!

Issei slowly stirred, and yawned. "...wait a minute... what happened to that bastard who stabbed me!?" he yelped, sitting up. Was that all just a dream? He then noticed something else. "Wait... how did I get naked!" he shrieked. He looked around frantically.

He slowly stood up, and sighed as he looked for his clothes. Before he found them however, he noticed something else on the floor of his bedroom. Something else that was definitely not there before. "...a lamp?" he mused as he picked up the old artifact. "How did this get in here?"

He looked it over, and noticed a smudge. "It seems like actual gold... wonder if I could sell this somewhere," he mused. He grabbed the corner of his bedsheet, and rubbed at the smudge on the lamp. It suddenly jolted, and spewed out glimmering red mist. "Ack!" he shrieked, and dropped the lamp to the floor with a clatter and backed up.

The mist started to coaslece, before forming into the shape of Rias's upper half, dressed in a sexy, see through Middle Eastern looking outfit meant for harem members or belly dancers. He had actually envisioned his fantasy harem with similar garb. Her lower half was actually a shimmering, sinuous tail made of the same mist now. "...what? Miss Gremory? What... are you... supposed to be a genie or something?"

She opened her eyes and smiled at Issei in a manner that he could only describe as... adoring? "Why, hello, my pawn and Master!" she clasped her hands together and bowed to him. "I am Rias, the Sex Genie of the Lamp!" she announced, before gazing at him softly. "Please, tell me how I may serve you..."

"Um... Rias, tell me what's going on," Issei blushed, before remembering he was naked, and quickly brought his hands down to cover his crotch.

Rias pouted at the sudden inability to see her Master's manhood, but then brightened up again at the prospect of following his order to explain. "Of course, Master!" she told him. "...about me being a genie now, or about why you are back home naked, after no doubt remembering being impaled?" she then asked for clarification.

He stared at her, agape. So that hadn't been a dream! "...yes!" he finally blurted out.