You know, at this point I'm kinda expecting Pyrrha to be a parody of the concept of death flags. Like, she keeps getting them, people expect her to die, but she turns out just fine.

I don't think they'll kill her. At least, not this season. Instead, she'll become the Fall Maiden in the season finale, leaving things on a cliffhanger. The next season will explore her transformation, then maybe she'll get killed off.