She died because she wanted to. If you speak to the Undines in the towns, you'll realize she never wanted to fight the humans at all. But since more Undines were like:
"RAWR HUMAN BLOOOOD."
She went with their wishes. But still, I can't see her as being a god... o_o
True the Gungnir is the lance of Odin, but it also makes appearances in a lot of games... Like Tales of Phantasia has a whole section of the game where a Valkyrie of Odin comes to take it from you. o_o
Besides...
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The Royal Army won't be killin' any gods unless you initiate Ragnarok. ;P