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I don't think the skinwalkers are immortal in the same sense as the gods and other immortals, but regardless Bob did say that Halloween isn't the only way to kill an immortal. Maybe a nuke could do it. Maybe a "semidivine" being isn't quite as immortal as, say, one of the faerie queens. It isn't made entirely clear.

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On another note, didn't Demonreach say the Warden was allowed to release the prisoners? Why would that be? The only thing I can think of is that Merlin intended the prison to be a weapon of last resort.