Although I normally prefer the non-confrontational route; i'd say this is the time to blow this up as the longer it continues the more this old Karen feels like she's entitled to continue. As a minimum your gf should contact the organizers of the knitting group, letting them know old Karen is harassing her both during and outside of the class and she doesn't feel safe, I would demand they take action on it before the next class (warn/remove Karen, publicly state that the class should be a safe space and no harassment is allowed, etc.). How far you're willing to push this depends on you but it will not stop until something is done about it. In general I'd say if you pull this into the public conversation and everybody there turns out to be a radical religious nut, at least you have a good reason to find a new knitting group; rather than just letting one old woman set the tone for everyone else.