If I am the second player and initiate my third challenge with Margaery Tyrell, and my opponent uses Dracarys!, would Margaery's strength ever reduce to zero? The Lord of the Crossing gives all participating characters +2 strength during the challenge, while Dracarys! gives them -4 until the end of the phase, but after the second player's third challenge the phase ends immediately with no further action windows. Is there a timing window where her strength would reduce to 0?

The end of the third challenge is a different resolution step than the end of the Challenges phase so once the third challenge is over, Lord of the Crossing no longer applies; Margery loses the +2 and then she dies.

but after the second player's third challenge the phase ends immediately with no further action windows.

This is not exactly true.

You can see in the flow chart on p. 25 of the RRG that when a challenge ends (in window 4.2.6), the game progress goes back to the Action Window between windows 4.1 and 4.2. So after the active player's 3rd challenge, there is a chance for all players to trigger abilities - including ones that might give the active player additional challenges. It's not until you get back to 4.2 and the active player doesn't declare a challenge that the active player's challenges end (which can occur even if the active player has declared no challenges at all).

At that point, the game progresses to window 4.3, switching to the next active player. Only if all players have already had a turn as active player does the game progress to window 4.4, where the phase ends.

So, while all of that may pass between the end of the challenge and the end of the phase after the last active player's third challenge without changing the game state much, a lot actually happens between the end of the last challenge and the end of the phase. It shouldn't be considered "immediate."

but after the second player's third challenge the phase ends immediately with no further action windows.

This is not exactly true.

You can see in the flow chart on p. 25 of the RRG that when a challenge ends (in window 4.2.6), the game progress goes back to the Action Window between windows 4.1 and 4.2. So after the active player's 3rd challenge, there is a chance for all players to trigger abilities - including ones that might give the active player additional challenges. It's not until you get back to 4.2 and the active player doesn't declare a challenge that the active player's challenges end (which can occur even if the active player has declared no challenges at all).

At that point, the game progresses to window 4.3, switching to the next active player. Only if all players have already had a turn as active player does the game progress to window 4.4, where the phase ends.

So, while all of that may pass between the end of the challenge and the end of the phase after the last active player's third challenge without changing the game state much, a lot actually happens between the end of the last challenge and the end of the phase. It shouldn't be considered "immediate."

Ok yes, this makes sense to me now. So after 4.2.6, and during 4.3, Margery's strength would reduce again since you're out of the challenge but the challenges phase has not yet ended. Thank you so much for the detailed explanation.