Colorado is a challenging state in which to find death information. It does seem logical that she died in Denver County since she was living there in 1930 and was 73 then.
There are sources listed for Denver at deathindexes.com/colorado/index.html .
There is also a research volunteer in Denver County at freepages.genealogy.rootsweb.ancestry.com/~obitl/volco.html
Scroll down to Denver Co.
If that doesn't work out, you'll have to order a copy of her death index from the Denver County Clerk Recorder. The name of Jennie Nelson is pretty common so be sure the birth date is hers. Successful Searching!