I realize I'm talking about ancient history at this point, but something else stupid occurred to me about killing off Jeyne Westerling. In the book, you have that outside chance that the Westerlings are actually every bit as diabolically clever as any other family in Westeros, and they're concealing Jeyne's pregnancy. By concealing Robb's heir for a later date, they'd be keeping the option open that if things ever go south for the Lannisters and Boltons, they can potentially press his claim to Winterfell and install Jeyne as regent until he comes of age, which would be a pretty big coup for a proud house whose fortune has waned greatly in recent years. Even if Jon (or Sansa or even Arya) somehow ended up taking Winterfell from the Boltons, primogeniture means Robb's child has a stronger claim than any other Stark.
Killing her off in the show probably means that none of that shit will happen and she'll never pop up in the books again.