
Continuity mistake: When Hellboy is walking at one point, holding his gun up in his left, gloved hand (just after one of the agents has said "This place is like swiss cheese"), watch the frame. It switches suddenly so his right hand (the stone one) is his left, and he's holding the gun in his "right." (00:59:40)
Chosen answer: Her jewelry does not melt either because the fire wraps around her and shoots outward enveloping her and her clothes and jewelry in a safe environment that allows her to breathe without burning the air going into her lungs. Plus if it burned her clothes it would get an R rating.