So ive always had this idea in the back of my head that at some point Julie might die, but not be completely dead. So shes in some kind of temporary limbo and while shes there she pisses off Death so he gives her a demonstration why not to screw with him.
The other idea is Julie is having a nightmare of what might happen to her if she doesn't reach her goal in time.
The whole magically dissolving limb thing was an idea i got from "Fullmetal Alchemist brotherhood"
I lover her expression in this pic