Readers are told explicitly that the lady has breathed her last breath late in the poem. If you look at the last four stanzas, especially lines 140-153, you'll see the reader walked through the stages of her death. In lines 143-4, we're told she's singing her last song, in line 147 the poet narrates her blood freezing, and line 152 specifically says that she dies. The stanza following refers to her as "dead-pale," so she's pass on by that point.
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