Almost same experience, I started to fight 2 giants and a mammoth, I ran, Lydia stayed, I cam back, she was nowhere to be found I killed the remaining giant with my serpent stone power. I tried looking for her, but I couldn't find her, so maybe she got knocked into the sky. So I ran off, Then sometime later shes behind me.
In Blackreach, I parted ways with Lydia, and she left and a while later I left blackreach to sell my stuff and use my soul gems, I went home, to find that she was missing. For a couple of days I thought she died. Then I ran out of soul gems and decided to go back to blackreach to collect some geode ore and crimson nirn, and there I find her standing in front of an elevator lever.
I was so relieved, other than those two times she has hardly come to close to death, I die before she does most of the time. Unrelenting Force and Ebony Bow Draugr Deathlords are annoying.