How old are you guys?
I think you need to speak with her parents again and stress that she's not messing around and even if she doesn't plan to follow through, these kinds of threats don't come out of nowhere.
If her parents refuse to do anything, it might not be a bad idea to call child services (again, depending on how old you are). I get calls about these situations pretty regularly and we can provide supports or refer to resources you guys might not know exist. Social workers aren't just there to take kids away. We can also speak with her and try to figure out what's going on. Maybe she's being a dramatic teenager or maybe there is something much more serious going on.
At the end of the day, the most important thing you need to remember is whatever happens, it's not your fault and you CANNOT blame yourself. If you can get to her to support her, awesome. If you can't and she does something, it's NOT because you weren't there for her.
Good luck man and if you need any help from a social worker who works with teens and families in crisis every day, shoot me a pm.