Rolo killed Shirley. Apparently, he didn't want Shirley to reunite Lelouch with his sister because he wanted to be lelouch's only sibling. Hence, why that locket was shown right after Nunnally's name was mentioned.
And it was a bullet wound, there was a hole in her stomach.
Rolo probably used Shirley's gun to shoot her, which would make everyone believe she commited suicide. I don't get why he didn't just shoot her in the head though. If lelouch didn't have that last conversation with Shirley, Rolo could have had an excuse saying she was a traitor and wanted to kill Lelouch if he does get connected to the murder, since lelouch knows that Shirley met Suzaku in secret.
I also don't get how Mao can survive a barrage of bullets and tout about how Britania's medical technology has advance so far ahead but somehow the Princess and Shirley died with just a single gunshot wound in the stomach.
The princess was even being treated at a very technologically advanced ship but she still died.
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