Leaving Hannah to suffer and freeze in the cold was Theo's worst nightmare. But it's something he has to do.
Blake doesn't possess any special fighting skills or powers to defeat Persephone. He has acquired all his fighting skills through intense training since childhood. His entire life has been leading up to this moment when Persephone and him would finally confront each other. However, he was at a disadvantage because even though she was in a different body and her powers weren't pure, she was still stronger and faster than him. Moreover, she has control over all the elements, especially the air.
But Blake's heart is determined. He was not doing this for the Gods who abandoned and betrayed him. He was doing this for the world and, most importantly, for Cassie.
He was not afraid of dying; he was more afraid of waking up every day without his beloved woman by his side, living a lonely and empty life without her.