...I had killed her after completing all the quests she was involved with and so was no longer an immortal quest related character. She was inside the embassy itself.
...
When you do the horse glitch can you get inside the building or just inside the courtyard/outside bit?
I bet that's it because when I went back the only live NPCs were in the courtyards. The Wizards and Soldiers in the outer courtyard weren't hostile to me and said weird things like: "You're the one that hurt me before."

When I jumped the fence the ones in the inner courtyard went 'red dot' on me and Mjoll stayed in the outer courtyard and killed the Wizards and Soldiers that went hostile after the inner ones went hostile on me.
Inside the buildings were the corpses that remained as I left them from Diplomatic Immunity. Mjoll did not appear with me in the Solar and she wouldn't follow me everywhere in the main Embassy building - she literally stopped in some of the hallways and wouldn't follow me. The same doors were locked as when I did Diplomatic Immunity and I couldn't get into the 'reception' room.
So, Elenwen was in the main Building of the Embassy or was she in her Solar?