The play isn't split into episodes or acts originally and I've only read the original Greek. Anyway, she killed herself because she could bear the burden of what she had done. She had slept with her own son, who also murdered her husband/his father. Also, she had given birth to Oedipus' children. So she then realized her children were the product of incest. She killed herself because she loved both her son and husband dearly and could not bear to face the fact that the prophecy turned out to be true. :)
