She shot him like 3-4 times in a row and he gotten up and started healing himself in mere seconds. That's more than enough for him to blow the… more fire if he needed to. And if you are wondering how he would escape if she would've indeed set him on fire:
I've noticed you read the comics, so you might know of this. Now i'm not saying it's impossible for Goldilocks to kill Bigby. But i just don't see it happening in that particular situation.
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Notice the D in the backround...
Rose should've let Snow bury his ass.