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This has got me wondering for a long time. In the first chapter, we see Zeira lying motionless on the ground. Yet in later chapters, we see her alive and well.

Seeing how Mavis is able to conjure pretty powerful illusions and how we have never seen anyone interact with Zeira thus far, is it safe to say that Zeira had indeed died and it was all just an illusion, or am I thinking too much here?

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In chapter 11, it was revealed that ...

You were correct. Zeira was indeed nothing more than an illusion created by Mavis. This was confirmed when Yuriy told Mavis that none of them can actually see or hear Zeira and that Zeira must be an illusion, Mavis made herself to keep herself company.

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    I knew it! :O Poor mavis, though. – Alfro Jun 1 '15 at 18:24

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