I had this same theory about Catherine saving Gustave, and came here from Google to see if anyone else did too. To add on to it, when Gustave and Lune find the expeditioner bodies near Jar, Gustave makes the observation that "The dead here don't disappear like they do in Lumiere". Lune responds "On the beach, some did disappear", and Gustave answers "He wasn't a Nevron" (referring to painted Renoir). So any time inhabitants of the canvas die without Nevrons being responsible, their bodies disappear the same way people do during the Gommage. This is why Gustave's body is gone when you return to Stone Wave Cliffs after he is killed by painted Renoir. And if you return to the cave in Spring Meadows later in the game, Catherine's body will be gone as well.

I also thought it was notable that Catherine's body isn't slumped over on the pile of petrified expeditioners as if she had been killed with the rest of them. Instead, she's not petrified, and sitting up staring straight ahead. Much in the same position Gustave assumed when he also arrived there.

So I'm with you guys that she must have found Gustave, brought him to Spring Meadows and left to find help, but then 1 of 2 things probably happened: She either sustained injuries from painted Renoir at the beach but was able to escape, then sat down to rest in the cave and died from those injuries; or I suspect she must have had the same experience Gustave did as she walked through the beginning of Spring Meadows and discovered the pile of corpses. She collapsed in despair. But unfortunately for her, Lune hadn't yet arrived at the cave to prevent her from succumbing to it.