When you meet Shanalotte in Dragon Aerie she says "it was my own manifestation that led you here." You'll also meet her (or her "manifestations") in at least Majula, Drangleic Castle, Undead Crypt and Throne of Want. Are these all tied to the same life? That is, if you kill her in any one of these locations (and can she be killed in all of them?), does she stop showing up in all the others?
Yes, there's only one Shanalotte and if you kill her she won't show up in other places. She works the same as other NPCs as far as death goes.
Unused dialogue and assets suggest the game originaly had time travel shenanigans so that probably explains why she seems so cryptics at times but since that didn't make it in the final version of the game, she's pretty much "normal".