I just played thought this not 10 minutes ago, trying to save Captain Grisly and the others too, but couldn't manage to keep them alive. Throughout the fight there's some dialogue about removing the masks when they make their Saving Throws so that lead me to a strategy of doing non-lethal to them to knock them out, then looting the masks off their bodies. However the moment I removed the mask from their inventory, they instantly died.
Removing the masks while the Hag is still alive will always result in "mind collapse" = death. Just leave them on there since it doesn't make a difference for the story.
I've had instances in the Ethel 2: Electric Boogaloo fight where at least one of the masks would be dead, even though I had made it a point to only knock them out. Not sure what happened there, but it might be some sort of issue with damage riders. I *think* some additional damage gets applied *after* the "main" damage of an attack and if the regular/main damage knocks the enemy out but then another few points of damage from added effects/riders/whatever is applied, the character can die. It could also have been one of those trapped fire-flowers of which there are quite a few in the area and whose effect (when you set them off by accident) would be enough to kill a knocked-out enemy who is close enough to catch the blast. Lightning damage on wet enemies or on ones standing in a puddle of water is another scenario I would avoid like the plague.
So it can't hurt to prepare a bit for both these fights. For example: don't give Karlach a Soul Coin and possibly don't even let her rage when you're going after the masks. Also be mindful of things like any damaging surfaces, etc as those will continue to do damage for as long as they're active (fire surfaces for example won't just go away the instant a fight ends). Mostly for peace of mind, I also made it a point to just heal all of them once they go down (or any other knocked out NPCs I want to save, like Korilla in the Raphael-fight) by throwing a potion - gives them a few HP to make them less likely to die from some sort of low damage environmental mishap.
Still: It's pretty rare these days that I don't manage to save all the masks in both Ethel-fights. As long as you don't forget to switch to non-lethal, don't use damaging spells or ranged attacks and are mindful of the environment and added damage your melee-attacks might be doing, you should be fine.