Instructions
Save your game at a nearby save point. These appear as clipboards that you can access with the "X" button.
Go to the bottom floor of the tower, and enter the Velvet room. This is a large room with a person sitting at a table and someone standing behind her.
Speak to Elizabeth at the table using the "X" button.
Select the "Fuse" option from the menu. Four cards will appear on the screen, choose the first one, "Normal spread."
Select the first Persona from the list. Choose a Pixie persona.
Press "R1" to move to the second screen.
Choose a second Persona, select the Unicorn persona.
Press "R2" to move to the Fuse screen.
Look at the Persona results. It should indicate that you have a Jack Frost persona, and it will likely list "Dia" among his moves. If it does not, cancel the fusion with the "Circle" button. Press "X" if you want to accept the fusion. The game will ask if the fusion is acceptable. Press "X" to accept it.
Open the "Persona" screen, and bring up your Jack Frost persona. There is a chance that he fused. Check whether or not he has the "Dia" move. If he does not, reload the game from your previous save point and start again.