Both Grimas start off with an empty chamber, with the real Grima surviving the fifth shot. This means the losing shot was taken by ash Grima, suggesting the real Grima survived.

Did Grima kill herself in Katla?

Ash-Grima subsequently puts the gun to her head and pulls the trigger, also finding an empty bullet chamber. The game goes on until the real Grima survives the fifth and last empty chamber, meaning that the final, fatal shot is taken by ash-Grima. Hence, it is the real Grima that survives.

Did the original Grima die?

Counting the gun clicks, it can be determined that the real Grima survived and has chosen to live on happily, having found closure with her mother's suicide and her sister's death. Whether it is real folklore, changelings, or something darker we will have to wait until Katla Season 2 to find out.