If anything, Direct naturally makes a guy MORE mysterious than any kind of indirect approach does.
Consider this: when a guy Direct approaches a woman, he keeps his approach short and to the point. He also reveals very little about himself in that initial approach. He just does his approach, lets the her the women know his intentions and suggests hooking up with each other, and perhaps leaves his number her, then makes his exit.
This is the perfect approach to leave a bit of intrigue and mystery about yourself. You should never leave any doubt in the girl's mind about your romantic/sexual intentions, of course, but because you've kept your approach short and sweet, she will be left wondering who you are, why you were so bold and Direct and not indirect like other guys, why you didn't take her phone number but gave yours instead, and why you didn't stick around making small talk. And if you were brave enough to add some erotic/sexual talk into your approach, she's going to be intrigued about why you had the balls to do that too.
Also, when you start seeing a girl on a regular basis, don't be one of those guys who is always available. Be busy living your own life, and don't be a guy who texts, calls or instant messages her every minute of the day. Leave her some space while you live your life and pursue your passions and your goals. This will naturally make you mysterious too, since women will wonder why you you're not like the barrage of other guys she meets who bombard her with constant contact over text, social media etc.
Are you starting to see now how the Direct approach naturally gives you a bit of mystique?
DON'T 'TRY' TO BE MYSTERIOUS. BE NATURALLY MYSTERIOUS
An important point I want to make is that you should never TRY to be mysterious. Never use any tactics or techniques such as pretending to be busy or deliberately waiting too long to call a girl back, etc. If you TRY to be mysterious, it'll backfire and seem forced and it won't work. Be naturally busy and naturally mysterious. Never try and force it.
YOU CAN STILL LET THE GIRL GET TO KNOW YOU
Some guys think that in order to remain mysterious in the eyes of a woman, they can never let her get to know them, so they become really aloof and they never reveal much about themselves. This is a mistake. It's perfectly fine to let a woman get to know you gradually over time, in fact it would be pretty strange if you never revealed anything about yourself. When I talk about the notion of being 'mysterious', don't take it too far and become really distant and aloof.
If you get into some sort of relationship with a woman, don't worry too much about being 'mysterious'. Be real, open up about yourself and let her get to know the real you, and equally get her to open up about herself and get to know the real her. Instead of trying to be mysterious, just concentrate on being a Direct guy through and through and never compromise who you are or what you want in life - this will naturally create a bit of an aura about you that is attractive to women and that also helps maintain her interest in you over time.