In Fight or Flight Marlena Olin played by Teri Reeves was part of the Pilgrim's hit squad sent in to kill Frank and recover Rachel, who Frank was using as bait. Because Frank had planned and set up in the room adjacent to his own, the hit squad was reverse-ambushed and Frank shot Marlena in the knee, taking her captive.
Later in Trouble the Water they were with Sheriff Hardin. Marlena offered to spare Hardin from Pilgrim's assault if he would let her go free. This is the mistake which got her killed, because it gave Hardin an opportunity to plan for Pilgrim's atack. Pilgrim knew Marlena sold him out when Hardin tried his plan, so he shot her for her betrayal.