I was walking into solitude when i saw this guy was going to be beheaded, i didn't really care untill they mentioned how he was one of the guys that helped me escape, so i darted behind a rock and stoped the execution with an arrow to the face, naturally guards kept coming and i realized my Companion character was almost dead so i told her to flee, i had to keep fighting untill i could no longer fight and was taken to jail. I got out but i dont know if she made it i couldn't find a body even though the Guards corpses were still there.

Suffice it to say this is great for RP but im really not sure if she's still alive.

He didn't help you escape YOUR execution.

He helped Ulfric Stormcloak escape after he murdered the High King of Skyrim.

The Storm cloaks helped me escape

I felt a bit of real sadness when my Lydia died, I honestly thought your NPC companions couldnt die, that they just took a knee or something and got back up after the battle. I was just moving on through a dungeon and suddenly realized she was no longer around. In wandering back, there I found her, sitting up against the wall dead as a doornail. I dragged her up on top of a coffin in the dungeon and stuck some herbs there to act as flowers, I'll probably go back someday and see if the undead have consumed her.

The sad thing is I may have killed her myself with an exploded fire shroud/scroll you get from the cat-mage in winterhold, he wants you to kill a few undead with the scrolls and you end up blowing yourself up.