At the end of Angel Heart, when Harold finally makes the terrible discovery that he and John Favorite are the same person and that he had killed all those people himself, Harold has a flashback about killing Epiphany (among other people). He returns to the hotel room and finds she is indeed dead. When most of the characters die, there is a fan spinning backwards, but in Epiphany's case this occurs during the infamous sex scene and she is shown alive afterwards.
Harold didn't know about her death up to this point nor did we as the viewers, but are there any hints as to when it had actually happened?