In addition to the entire ZA costume, during these scenes Amber also has a black PVC trench coat.
The coat is Lip Service Achtung Playtime coat, though it is discontinued and EXTREMELY rare. The coat comes with an armband which has an iron cross on it, which was completely removed for filming.
Additional pictures of the coat not used in the movie: As I have only found a single small photo of one in all black, and given the coat's rarity in any color, this item would most likely be easier and cheaper to make rather than track down and purchase.