How Dorothy Kept Away the Spring by Joanna Russ (F&SF, February 1977) has a young girl called Dorothy dreaming of adventures in a winter landscape with the Hunter, Clown and Little. Together they go to save a Princess from a tyrant. After they succeed, the Princess blows away:
Thank you for saving me, she said in a damp, rushing voice like water falling under stone arches. I am very grateful to you.
The Clown dropped to one knee. The pleasure is all ours, lovely lady, he said. She patted him on the head, and a little cloud from her hand caught on his hat and trailed from it like a breath.
They walked out of the castle. At once the fierce, grinning wind lifted the Princess and whirled her away in ragged, torn streamers.
What a shame, said Dorothy. Little nodded.
She was beautiful, declared the Clown sadly. I never saw anyone so beautiful before. Two tears rolled down his cheeks. p. 58
At the end of the story Dorothy wants to keep away the spring but the three of them tell her she can’t. Then the Hunter says she doesn’t have to. When she arrives home in the (real) snow her father tells her to get back to bed, where she later dies.
There may be allegorical or metaphorical levels to this surreal, dream-like story (I’d guess it may be about puberty and adulthood) but, if there are, they went way, way over my head.
* (Mediocre). 2,700 words.