I'm going to play devil's advocate here right now on the whole subject of 'are Nunnally and super ninja maid babe Sayako really dead?', by pointing out a few things that I noticed in the episode.
For the side of the argument stating that they are toast...
Rolo said that he was unable to contact them and that the signal was lost when FREYA blew up in a totally awesome display of 'special effects'(I'd love to see them try and make it look that good in a live-action version of Code Geass), and if they were still alive, more likely than not, they would still be able to maintain communications; however, if for some strange reason, some sort of fallout or residual blowback energy from the blast created by FREYA were messing up their signal so they couldn't communicate with everybody elso to tell them that they are still alive, wouldn't you think that the same interference would be affecting EVERYBODY ELSE?
For the side of the argument stating that they have to still be alive because the super awesome ninja maid cannot die, cuz she'z just that awesome and cool that she doesn't need a geass code to be nigh immortal...
Did anyone actually see the ship they were on get fried in the blast? Cuz I sure didn't. All that I saw was Nunnally and sum of the other people on the transport looking out what I assumed were the windows at the explosion. I saw no confirmed kill on the royal transport which held Nunnally and the super ninja maid. For all we know they were all the flippin way on the other side of the battlefield by the time that big ass bomb went off.
Whatever side of the debate ya'll be on, there's sum more ammo for ya to use to argue ur point, but personally, I kinda want them to be alive, but still logic dictates that they are most likely no longer among the living.