Removing the girls as a narrative device to "morality check" the decisions Orion has made so far in regards to his allies is actually a BRILLIANT point that I hadn't even considered. So far we already have a few allies whose relationship with us depends on our choices, like hooking Chang up with Micaela, saving Maximo in New World, saving and befriending Jerry in Valley of Kings, and (maybe) witnessing every mafia conversation between Raul, Noah and Giuseppe,... Putting the girls out of the picture would certainly give these guys a much bigger opportunity to shine (or not shine if we haven't helped them, which should lead to a bad ending)I can see the cliffhanger for 0.10 being possible death, in order push the whole team to be more focused everything and discard their normal lives. Alternative for removing the girls, at least temporary, is so Orion need to use some of his other allies. I can see Chang being brought to plan prison break, possibly participate in it from inside Eternum in order to save the girls (Luna making big impression on him and saying she must be protected). Maximo to help Nancy because he has stakes in the WRE remaining multi server faction that possibly pays him, Jerry because he is now friends with Orion, ect. I can see "assholes Orion" that didn't help his allies having to do the prison break alone and failing.
If that were the case, and if death in Eternum was going to be this "removal" method, then we're looking at the possibility of it happening to every single girl, instead of just one. Now that would be one hell of a cliffhanger.
But if death was used more like a motivation for the whole team (instead of just for Orion) as you said, then that possibility is less likely. And in that particular case maybe Nancy IS the best fit because she's the only girl who has had the most extensive interaction with every other member of the harem (except for Calypso, but she's the exception due to being stuck in Hyrilar for now).