(SPOILER)The show seems to be implying that the clones and their offspring are nearly impossible to kill. Kira survived being run over by a car at a frighteningly high velocity and Helena already survived being run through with a giant smurf-off pole (which also caused her to lose tons of blood) so I wasn't at all surprised that she survived getting shot. It took getting shot through the head to kill Katja and it took getting run over by a train to kill Beth and some people still don't believe the latter is truly dead. The show creators also seem to be aiming for Steven Moffat levels of outright lying to the audience, given that they spent more than eight months insisting Helena was dead.