The woman in question is not Kurtz's widow but his fiancee. The text refers to her as Kurtz's "intended." She has always lived a sheltered and genteel life and has no conception of what Kurtz was going through in the Congo. She asks Marlow what Kurtz's last words were, and he tells her a white lie in order to comfort her. He says the last words spoken by Kurtz were her name. The truth was that Kurtz's last words were, "The horror! The horror!" Kurtz became a savage by living in a savage environment. He was horrified as much by himself as by the cannibalism and other primitive behavior around him. He was also horrified by the rapaciousness of the company he worked for and by European imperialism.
“It’s queer how out of touch with truth women are. They live in a world of their own, and there had never been anything like it, and never can be. It is too beautiful altogether, and if they were to set it up it would go to pieces before the first sunset. Some confounded fact we men have been living contentedly with ever since the day of creation would start up and knock the whole thing over.”
Joseph Conrad, Heart of Darkness