Don't forget her reaction to Sansa asking about the north.
Right now here's where we are at:
1. The dead overrun Winterfell with the Night King there. No way there wouldn't be at least a few survivors, but basically they would be completely screwed unless they went to the Iron Islands and let the dead overrun Cersei eventually.
2. The dead overrun Winterfell and the Night King torches King's Landing. Shows over in Episode 3, won't happen.
3. The dead are beaten back at Winterfell, the Night King torches King's Landing, surprise there's a whole new army of the dead to take on. They could still have the hope of taking out the NK to take them all out though.
4. The dead and Night King are completely defeated at Winterfell. Back to the Game. Dany and Jon, Cersei and her brothers, what about Bron, all of that for the last 3 episodes.
I know how popular the King's Landing NK theory is, but I don't think it allows for the story to fully play out. I think he's at Winterfell and somehow they find a way to win, but at a heavy cost. And Cersei will have a clear advantage going into the last three episodes (good because that means she's going to die).