Himekishi Monogatari -Princess Blue-

Fortress city Silt is the capital city of the Lucitamia kingdom. Main character is a knight who lives there and dreams about becoming a true holy knight. As soon as he reaches this position, he is sent to fight demons in the party of holy knights that includes another newcomer Karen. But a series of strange incidents happen at Silt left with weakened defenders. Protagonist will need to unveil this conspiracy and learn the secret of the "sorrow princess".

[From vndbreview]