Yeah it's certainly not the kind of story you hear every day and everyone that knows her must be heartbroken can't imagine how Alec Baldwin must feel as well.
Was reading this does sometimes happen when they are using live rounds as well as blanks. Brandon Lee (bruce lee's son) was killed in a similar incident when a gun that had been used for firing live ammunition wasn't checked and loaded with a blank cartridge. Part of the bullet from the live round had been lodged in the weapon and the power generated by the blank cartridge fired it out the barrell into him.
We obviously don't know if the same thing has happened here but such a sad story.