Out of curiosity, I looked to see whether there was any official explanation for why she said "Balenciaga". Here's what was claimed in an Entertainment Weekly article:
On the season finale of American Horror Story: Coven, Myrtle Snow (Francis Conroy) walked into the desert in a flowing floor-length crimson dress, presented herself at the stake, and cried out “Balenciaga!” before going up in flames.
We know why Myrtle’s last word was Balenciaga, but was the dress she was wearing when she met her demise from the French fashion label?
Nope.
We asked AHS costume designer Lou Eyrich to tell us what Myrtle wore — and why it wasn’t Balenciaga — and the significance of her final frock. Read on for the answers.
“The dress is from Carolina Herrera. Our key costumer found it online,” Eyrich explained. “Ryan Murphy wanted Myrtle to go out in style and asked that she be in a red gown. We wanted a dramatic dress that would really stand out in the quarry.”
So why weren’t Myrtle’s last words “Carolina Herreraaaaaaaa!” since that’s what she was wearing?
“In my opinion, the dress Myrtle was wearing and the fact that she yelled ‘Balenciaga!’ were never meant to be related,” Eyrich said. “[Her last word] was just her tribute to all things couture.”
Out of curiosity, I looked to see whether there was any official explanation for why she said "Balenciaga". Here's what was claimed in an Entertainment Weekly article:
https://ew.com/article/2014/02/03/american-horror-story-coven-myrtle-snow-not-wearing-balenciaga/