I get the feeling that Zero Two knew what was going to happen to her, or at least had a feeling, because she’s definitely speaking like she knows she’ll be going away. 

Also, her horns grew out in the same way they did when she had become integrated with Strelizia in episode 15, so I’m almost positive that her soul has become a part of Strelizia in a way similar to the female klaxo sapiens did with the klaxosaur bio-weapons.