MTG planeswalker-flicker ruling
You're correct in assuming that that trick won't work.  The entire process of paying the loyalty cost and then having the Planeswalker die due to state-based actions doesn't use the stack, so there's no opportunity for a spell or ability (which would use the stack) to preempt it. Between the time you pay the -2 cost (bringing her to 0 loyalty) and the next time you'd be able to use a spell or ability, she's been moved to the graveyard.

If you want to preempt a state-based action, your only option is a replacement effect, but you'd be hard-pressed to find a replacement effect that would save a Planeswalker at 0 loyalty.