Well, Aria had a mental breakdown when he had rejected her in a letter and kept ignoring her afterwards, and only the new opportunities given to her by Asher, such as that "secret discussion club", helped her to keep her sanity. Oscar was some sort of hope for her, a symbol that the fate may be changed, and the nightmares about her own beheading have never left her until Mielle's execution, so losing him at that period of time was a very huge blow for her. Even if it wasn't love, at the very least she relied on him a lot for the moral support.