Although loyal to the Nazi Party as the wife of Prince Philippe of Hesse, Mafalda was killed by the Germans in answer ot the Itlaian Royal Family betraying the Axis. In order to avoid political problems, she was made bleed to death during a surgery.
Funny thing is the King apparently didn't even tried to save his daughter.
On 23 September 1925, at Racconigi Castle, Mafalda married Prince Philipp of Hesse, Landgrave of Hesse-Kassel. Prince Philipp was a loyal member of the German National Socialist (Nazi) political movement, and his brother Christoph was part of the party hierarchy and married to Princess Sophie of Greece and Denmark, sister to Prince Philip, Duke of Edinburgh, the future husband of Queen Elizabeth II of Great Britain.
Prince Philipp's marriage to Princess Mafalda put him in position to act as intermediary between the National Socialist government in Germany and the Fascist government in Italy. However, during World War II, Adolf Hitler (head of the National Socialist party and Chancellor of Germany) believed Princess Mafalda was working against the war effort; he called her the "blackest carrion in the Italian royal house".
Early in September 1943, Princess Mafalda traveled to Bulgaria to attend the funeral of her brother-in-law, King Boris III. While there, she was informed of Italy's surrender to the Allied Powers, that her husband was being held under house arrest in Bavaria, and that her children had been given sanctuary in the Vatican. The Gestapo ordered her arrest, and on 23 September she received a telephone call from Hauptsturmführer Karl Hass at the German High Command; the Hauptsturmführer told Mafalda that he had an important message from her husband. On her arrival at the German embassy, Mafalda was arrested, ostensibly for subversive activities but (it is generally assumed) more probably as a hostage to keep her father, the King of Italy, from opposing German interests in the war. Princess Mafalda was transported to Munich for questioning, then to Berlin, and finally to Buchenwald concentration camp.
On 24 August 1944, the Allies bombed an ammunition factory inside Buchenwald. Four hundred prisoners were killed, and Princess Mafalda was seriously wounded: she had been housed in a unit adjacent to the bombed factory, and when the attack occurred she was buried up to her neck in debris and suffered severe burns to her arm. The conditions of the labour camp caused her arm to become infected, and the medical staff at the facility amputated it; she bled profusely during the operation and never regained consciousness. After the bombing of 24 August the dying Mafalda said to two other Italian inmates of the camp, "Remember me not as an Italian princess, but as an Italian sister." Mafalda died during the night of 26–27 August 1944; her body was reburied after the war at Kronberg Castle in Hesse.
The Hessian royal family were not notified of her death, although rumors began to circulate towards the end of 1944. Her death was not confirmed until after Germany had surrendered to the invading Allied armies in 1945.
In 1997, the Italian government honored Princess Mafalda with her image on a postal stamp.