Personally, I usually just keep trying and hope that Big Bang doesn't wipe out crucial characters.

But approaching this methodically, I heard that Zeromus uses attacks like Tornado and Flare only as a counter to magic. So basically, Rydia shouldn't be using attack magic if you aren't able to handle Zeromus' counterattacks (this includes Bahamut). I don't know that for sure, but I heard that from quite a few sources. Rydia should probably stick to using Asura if you don't want to risk getting hit by Zeromus' counterattacks. He doesn't counter physical attacks, so you can use that to your advantage. Also, I remember reading that Zeromus' shaking indicates that he is about to use Big Bang, so that might help in predicting and preparing for it.

On a side note, keep in mind that your file is still playable even after you defeat the game, so if you're throwing weapons with Edge, make sure that they aren't lost forevers (eg: Excalibur, Gungnir, Knife, etc). Any type of Shuriken is okay since you can buy them at Kokkol's shop (located in the underworld near the southeast corner).