How did Pepper die?

I think you're thinking of her spouse "Salty." ...Are you talking about AHS: Freakshow in the episode called Orphans?

She died in season 2, off screen. The director of Briarcliff tells Judy in an episode towards the end of the season.

At least try and avoid spoilers for people that haven't watched it. Thanks bud!

Um, that's like 2nd season. At what point can we talk about old shows? Rosebud's a sled. Hope I didn't ruin that one for you.

But, really, if you don't want spoilers, reading internet discussion boards about a character in a show probably isn't the best way to do that.