I wouldn't have a problem with being asked for a deposit if I were your buyer.
I once saw a bag I badly wanted, and put a snipe bid in on it and completely forgot about it. Over the course of the week, things exploded in my personal life and I found out I was moving out of my (shared) apartment and had nowhere to go. When I got the email saying I'd won the auction, I felt sick - I'd completely forgotten about it.
The seller was really understanding and let me pay her half upfront and half about three weeks later.
Anyway, my point is that I think your buyer is fine - at least she's asking you in advance of winning, rather than after!