The theories are nice, but I???m not a guessing person and the only thing I'm keeping bets on are:
1. Regicide (I love that word!): Ozai murdered azulon, be it however complicated the events were that leads to this. Were ursa and/or azula involved as well, hey why not?
2. Ursa sacrifices her self in some way for zuko, be it she runs away or is killed or both or what ever.
Also I wonder if Ursa is dead, it will make a very lovvy-huggy episode if zuko ever finds his mother, because of this I hope she is dead.