As with any great writer, Amor Towles wants his readers to meet him halfway. This means, among other things, that when he describes the “willowy woman” at the end of A Gentleman in Moscow, he is careful not to spell out her identity. Such deliberate ambiguity makes us think about what we're reading without having to be spoon-fed all the relevant details.
It's almost certainly the case that the said “willowy woman” is in fact Count Rostov's girlfriend, the actress Anna. She is described as “willowy” on several occasions throughout the book, a reference to her tall, slim body shape. Her height also perhaps suggests a certain sturdiness and strength in her makeup, reflected by her decision and that of the count to remain in Russia despite the obvious dangers of being imprisoned or even executed.
On the face of it, it may seem strange that Anna and the count would not take the chance to get out of the country and evade the clutches of a repressive regime. But in the final analysis, they are both Russians; this is their homeland in which their souls reside, and they are not prepared to leave it, irrespective of the very real dangers they will surely face.