All right, thought about Kos some and came up with two theories, one of which I like a lot more than the other.
The first one, which I like less, is relatively simple: Kos wasn't killed, but rather died of "natural courses". It is never explicitly stated in the game that Gehrman and Maria killed Kos, only that the two of them helped claim and study her corpse. It could be that something not adherent to the limits of worlds, like another Great One, killed Kos, and she just washed up on the shore. She could even just have died during childbirth, since we have a lot of things pointing to her as the original source of the third umbilical cords. There's a lot of "meh" in this theory, and it still requires an exception to be made to the rule of Great Ones being indestructible in the real world, so I like the other one better.

The other, better theory I came up with is fairly simple, and actually has some evidence going for it: Kos wasn't killed in the real world. Now, I'm [I]not[/I] saying that the Fishing Hamlet was somehow not in the real world, like I did with Ebrietas' lair; the version of the hamlet in the Old Hunter's Nightmare was clearly and obviously in the nightmare, but that wasn't where Kos died, but rather an entire world spawned as a consequence of her death, the treatment of her corpse and the massacre of the people living there. The hamlet was clearly in the real world, and Kos' corpse ended up there, but I'd claim that she didn't [i]die[/I] there. She died in another world and either just happened to wash up on a shore in the real world, or was intentionally brought there by the ones who killed her, namely Gehrman and Maria.
Let's look at evidence. We know that Kos was an aquatic being just by looking at her corpse, and that she washed up on a shore from the sea. Aside from her and the various aquatically themed enemies of the Fishing Hamlet, all of which presumably underwent this particular mutation due to their vicinity to Kos, she is the [I]only[/I] being that has any relation to water in the game, with one exception: Rom. We find Rom in another world under the surface of the lake, clearly "underwater" in a sense, which is something I never really questioned before. Rom was acting as a barrier against outside influences, like that of the Moon Presence, and bodies of water are frequently referred to as something that wards against the nightmare, so obviously Rom would use a body of water as the catalyst of her barrier. Rom, however, is (according to her name) a spider, or (according to her appearance) a pillbug, both of which are clearly [I]terrestrial[/I] creatures. Given her "vacuous" nature, what could possibly have motivated Rom to make her home in a lake?
We also know another thing about Rom, though: Rom was made into a Great One thanks to Kos, either by Kos somehow lifting up Rom to that status while alive (unlikely), or through the use of Kos' corpse. Either way there is a clear relation between Rom and Kos. Now, with Kos' "true" child throwing a tantrum and creating his own nightmare for the sake of punishing the people who mistreated his mother, it seems pretty clear that the orphan's nightmare is unrelated to Kos' nature in life. Wouldn't it make sense, then, if Rom - who was previously human - opted to take an existing nightmare, one already linked to her through her sire, rather than try to create a new one?
So basically I arrive at this: Rom's lake was originally Kos' nightmare, and it was here that Kos [I]actually[/I] died, whether by Gehrman and Maria's hand or some other manner. Somehow the corpse then passed over into the real world, opposite of how the player seems able to effortlessly enter it, and either washed up or was dragged onto the shore.