Well, I meant she could have tried to escape to the Coalition forces - Jetstone, for instance. She doesn't seem to think all hope is lost yet - she implores Don King after all to defeat Wanda and end this scourge for her.

Though I guess maybe she didn't see any way to make it to the Jetstone border before being caught by Wanda's forces... and yes, a royal character choosing suicide is a classic motif.