Khal Drogo: STR 3

Response:

After you win a (Power) challenge in which Khal Drogo is participating, choose and KILL 1 character with lower STR than Khal Drogo.

Myrcella Lannister: STR 2

Challenges:

Discard Myrcella Lannister from play to allow you to initiate an additional (Intrigue) challenge this phase, to a maximum of 3

QUESTION:

Can Mycella save herself by discarding herself? Even if Khal Drogo is the attacker or active player?

The Player Action window frame says only a SAVE/CANCEL responses after an action is initiated. Is my conclusion correct?(REF: FAQ V.4 Page 19)

Edit: See Answer below. I mistakenly assumed Myrcella was a "response" effect (for no good reason). Edited to clarify.

For some slight additional clarification; "Any Phase" and "Challenges" are only triggered as player actions, and therefore can only be triggered during player action windows. There's a player action window between declaring defenders and resolving the challenge, and that's the last place you could trigger Myrcella to avoid getting her killed.

Once you've resolved the challenge (with associated claim, unopposed, renown, and any passives initiated), the first player may respond to any of the aforementioned effects with a "Response" (like Khal Drogo's).

LotR Myrcella Lannister's ability is not a Response , but a Challenge action (other versions have Any Phase actions). So there's no way her ability can be triggered during a response window.