Mathematically speaking, let U1 be the woman's utility value if the man is in Hell, and U2 is her utility value if the man is in Heaven. What does the story tell us about values of U1 and U2?

At first sight it says that U2 is greater than U1, because the woman really wants the man to join her, but also U1 is not less than U2, because she is not sorry that her attempt failed. This is mathematically impossible.

I think this mostly tells us that your model doesn't actually model humans very well.

A simple explanation is that there's a system in her brain that guides her action towards making the man join her, but the success or failure of this system doesn't affect her emotional state.