This will be the last FoX-Men movie, letting Jean live would be the most logical choice, considering that and the fact that it would be her third or fourth death in this universe. It's not like "Jean Grey dies and comes back all the time" isn't already a staple gag among casuals.
I don't think a completely tragic end works when a series hit its closure. Even Raimi's Spider-Man 3 had Peter and MJ reconcile after Harry's death. Have stuff like Mystique dying, the school being blown up again, the X-Men disbanded, and anti-mutant hysteria on a high, but at least give us something good. It's not that hard.