Her cover does block off the impact of the blast, and she has the presence of mind to squeeze her eyes shut against the flash of light. There's nothing to do about the sound though. The screech of the grenade just drowns out her pained cry, one hand coming up to cover her Faunus ears which take the force of it much harder being far stronger than human ears.

It's instinct alone that saves her and she forces past the stabbing pain in her head to catch Slade's attack before it takes her head off. Gambol Shroud comes up, catching his sword on the folded sickle blade and she turns the blade aside as she brings the pistol barrel to bear on him squeezing the trigger at point-blank range.