It is confusing me when it is at the end of the sentence...

Amelia Earhart also flew nonstop across the Atlantic; the first woman to do so was (her, she).

I am thinking try the sentence with one word at a time to see which makes sense.. so I am thinking she?

This can be a tough one. But you got it right -- it's "she."

As a predicate nominative (following a linking verb), you must use the subject pronoun.

I startle some sales callers who ask if this is Sue. I answer, "Yes, this is she."