@golguin: You're right, that makes way more sense. It's similar to Artorias, although at this point I have to question why we're fighting Alonne if we're in the King's memory? Are we meant to be the OIK in this memory? Was Alonne rebelling against the OIK? O_o
I believe it's just an unfortunate thing that happened and the death was covered up by the King saying he just left. The reason you enter the memory in the first place is to get the final smelter wedge (behind Alonne's throne) for the Nadalia Idol. Destroying the final idol gives you Nadalia's real soul (12 pieces make it whole.)
It's the same way you end up killing the Giant Lord in the memory. If you talk to Chancellor Wellager after killing the Giant Lord he'll recognize the fact that you were the one to do it You were always the one that stopped the Giant Invasion just like the player character was always meant to kill Artorias and stop the spread of the Abyss in Oolicile.