Factual error: When Professor Broom puts the old pieces of paper together, the text translates to "Graveyard 16", not "Sebastian Plackba 16".
Factual error: During the subway fight, Hellboy rips a payphone off the wall, which sparks as he does so. A phone does not have a voltage source that would be high enough to spark.
Chosen answer: Her jewelry does not melt either because the fire wraps around her and shoots outward enveloping her and her clothes and jewelry in a safe environment that allows her to breathe without burning the air going into her lungs. Plus if it burned her clothes it would get an R rating.