My problem with the theory that [SPOILER] Nadia's first death was a suicide as well, just like Alan's, and she doesn't remember it just like he initially didn't remember:

Okay, so Alan said that he didn't remember his first death- Nadia said that her first death was the taxi. BUT ALAN KNEW that he had a first death that he didn't remember! It's more that he was startled to realize that he didn't remember what caused the death. The implication is that he remembered the loop and all the stuff preceding that death, he just didn't remember the death itself.

In contrast, if Nadia's first death really wasn't the taxi, then that means that not only doesn't she remember her first death, she doesn't even remember all of the events leading up to it, which is a totally different level of mindfuck than Alan not remembering his cause of death.