There's actually no danger of getting screwed over with Nanna and Eyvel at all unless *maybe* you can have Eyvel's weapon break and then get her captured by one of the stronger enemies, but I've never gotten to that point. Due to the plot needing her around, the RNG has to sulk in a corner whenever she's in danger, as she is guaranteed to dodge any attack that would have otherwise killed her in chapters 1-3 and 5 (naturally it's gone if you get her back in 24x). Plus she won't counterattack against Mareeta so you have to try to mess that one up. I was going to say that might have been the first case in FE of a character who actually WON'T attack a character related to them (since most people have Matthis syndrome), but then I remembered Rudolph in FE2.
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Mistake you're making - overlooking the fact that we might not want to be saved.