while the players couldn't do anything

This is a little strange. It makes them sad but the only person they can blame is the storyline, which is you. Foreshadow her death, and make it so that in hindsight they could have saved her. Or make it a conscious effort by the BBEG or someone working for him, and they can attempt to save her. Anything other than a super high roll kills her.

There are also other possible tragedies that can happen, other than death. The Captain could, upon regaining consciousness, be completely insane. After some time she could also become a twisted, tragic, evil being that your players may have to try to put down.

Or maybe the "experiments" the BBEG did on her went beyond the potion he injected. Maybe he tried other things on the Captain. Maybe some fiend had tried tricked the BBEG into trying to take over the BBEG's body, but the BBEG was too careful and the fiend ended up in the Captain.

Maybe it's a setting where a lot of magic isn't very common and rituals are vague. Maybe she is, upon knocking unconscious, be put in a form of stasis, where she doesn't die or age but can't wake up. They are given hints about something that was given to her, and the only way is some vague ritual. It could lead to her coming back as a lich or revenant or something of the like, and the PCs have to do something about her. Whether she has to die, or they become most-wanted outlaws, branded as evil cultists. This could be tragic in that everything about her, her manner of speech, her memories, her habits, could all be identical to how she was before she was turned, but her morality is turned off like a switch and she slowly starts on the path of evil, even if the PCs accepted her being a lich at first. Like some evil sociopath with the voice and mannerisms of someone they love.

Death doesn't have to be the only thing that could traumatize the players.