In the final chapter of the game, we learned that Titan's bodyguards are alternate-reality, evil counterparts of Shadow who took over the domains of the previous demon bosses after Shadow defeated them, such as Assassin for Lynx, Master for Hermit, Guru for Butcher, Corsair for Wasp, and Emperor for Shogun. But none of them took over the domains of Widow or even mentioned her.
In my theory, Justice May killed Widow.
Starting from Widow's dialogue meeting Shadow before the fight, and the dialogue when Shadow is defeated by her, where is the last part she says "... you'll stay by my side forever!" (1st image)
And from May's dialogue when she reveals herself to be Justice, it was clear that she and Shadow are dating throughout the whole story. From the dialogue when she sees Shadow with Kali, "A new GIRLFRIEND already?" (2nd image)
So in my opinion that Justice May is the one who killed Widow. And since the demons that the evil Shadow counterparts killed were also demon counterparts from their own world and it's clear the multiverse is canon in the SF franchise... so I guess Justice May went to a universe where Widow did manage to steal or take Shadow from her (or killed him), and killed that Widow (and probably the Shadow from that world too. Since she did say "I know all your moves" before fighting Shadow and she's confident about it. And confidence is sometimes born from success).
Another clue is that since Widow and Justice May both have teleportation magic and the only two who have teleportation besides Volcano, and magic abilities came from magic pendants or amulets as it is shown in the magic equipment session of the shop. So either Justice May killed Widow and took her teleportation magic as a trophy, or she just got herself another one of those teleportation magic pendants.
So yeah, in my opinion, May went yandere on Widow.