So this is to quickly explain the Grimm Pyrrha theory in case anyone here is unaware of it, or wants to go over the particulars.
For those unaware, there's been a popular theory floating around that Pyrrha wasn't killed in the V3 finale, but instead teleported to Salem who used various Grimm Powers to turn her into an evil minion.
The theory is based into two components, Teleportation and Grimm Powers. Which sound pretty self-explanatory.
Cinder can Teleport. We already know this is a thing in the setting thanks to Raven. And, as we'll get to later we have reason to believe Raven has Grimm Powers (admittedly not much). So the idea Cinder has the ability to teleport isn't too much of a stretch.
Consider the following: We don't really know what Cinder's full power set it. Let's review-
* She uses Dust and Weaves it into her dress to fight (not directly confirmed)
* She can summon and dismiss her weapons. Notice she doesn't do this while fighting Amber, or when she's posing as a student. This suggest this is a power she shouldn't have (hence she's hiding it) and she got it after her fight with Amber.
* She had half a set of Maiden Powers, and then a full set. This is likely the source of her fire powers.
* On top of that she has a Semblance we can't really place.
And also consider with the addition of Maidens we now no longer know what all the rules are for the setting. I think its certainly possible Salem gave Cinder some additional powers, some of them may be listed there, or she might have given her teleportation, or teleportation could be her semblance.
An important thing to note is the way Cinder summons and dismisses her weapons. They break apart and reform, not unlike certain forms of teleportation. It's very possible her summoning and dismissing her weapons are her using a teleportation power.
Now, lets move a bit from speculation and into some logic.
Whatever happened to Ozpin?
So, its heavily implied to us that Ozpin is held within the clutches of Salem in her Underworld. I propose he was teleported there. Lets look at what the alternative is.
* Cinders defeated Ozzie in the secret basement and left him there.
* Cinders flew up a broken elevator shaft to have a conversation with Kevin.
* Cinders fights and kills P-Money atop the tower, only to be blasted by Ruby's Lazer Face.
* There are a few possibilities from her.
** Ruby's Lazer Face is super effective! Cinders is now dead. This is certainly a possibility. But personally I feel it would be very sloppy to kill off Cinder like that in such an ambiguous manner. Also, given how Maiden Powers work, they should now be transferred to Ruby since Cinders was probably thinking a lot about the girl with the Lazer Face in her final moments.
** Ruby's Lazer Face is not very effective... Ruby is now in a coma. Cinders takes five seconds out of her busy schedule to bust a cap in the Coma Girl. This obviously didn't happen.
** Ruby's Lazer Face knocks Cinders out. Help comes.
*** If help for Ruby comes first, most likely Qrow, Cinder is imprisoned for War Crimes. Possible, but I would think Qrow would mention this. Also, we get into the problem of Ozpin being missing.
*** If help for Cinders comes first, most likely Emerald or Mercury, they take five seconds out of their busy schedule to bust a cap in the littlest Coma Girl.
*** For some reason Ruby's Lazer Face doesn't adversely affect Cinders. Lets assume this happens.
* For some reason Cinders decides not to bust a cap in the littlest Coma Girl who sent Kevin into permanent PTSD flashbacks.
* Cinders goes back down the broken elevator shaft, takes Ozzie, who hasn't done anything at all during this time, and carries him back up the broken elevator shaft.
* Cinders navigates through a warzone filled with Hunters, Hunter students, and Atlas Military without being caught or seen as far as we know.
* Cinders navigates untold miles of wasteland to reach Salems Underworld. During this time Ozpin is kept subdued, and alive, which means food, water and bathroom breaks.
Personally I feel that has too many moving parts to it, and leaves some massive glaring plotholes. I think it's almost certain Cinder has some kind of teleportation power.
Here's my take.
* Cinders sees RWBY's Lazer Face, and either teleports to Salem, having done everything she needed to anyway, deciding not to risk taking a Lazer Face to the Face, or teleports before too much damage is done to her. Leaving Ruby alone on the tower to be recovered by Qrow and friends.
Now I also think Cinder's teleportation is one way. She can only teleport to Salems underworld. Otherwise she'd be using her teleportation more in combat scenarios, and she could have just teleported to avoid the Lazer Face, and teleported immediately back to bust a cap in the little Coma Girl. There's some wiggle room here for exactly how the mechanics of Cinder's Teleportation works since we can't be certain.
Well why would Cinder do that, and what would that accomplish? Well, remember Cinders list? Remember how that plot thread went absolutely nowhere? What was that for?
* Rigging the tournament? Well we don't see Yang being added to the list. Why? Team CMEN didn't know Yang would be advancing far enough in the tournament until Team RWBY made the selections on their own. Perhaps it's a safe bet that P-Money would be selected for the finals by JNPR since she's the tournament champion. Still, I find it suspect we only find out about this list in regards to P-Money, never anyone else. If they had removed that scene entirely? Well we would still know CMEN is rigging the tournament thanks to the Queen Virus. Also, lets keep in mind that CMEN had no idea that Penny was a Robot when they were adding P-Money to the list, or that Penny would be in the tournament period, meaning the knowledge that P-Money was Magneto was pointless at that time.
* Maiden Candidacy? Well ignoring how Ozpin hadn't picked her yet, Cinders left P-Money for dead in the stadium. And she seemed to find the secret basement all on her own. Seems Pyrrha was awfully ancillary for finding Amber.
Remember that Cinders philosophy is taking away an enemies strength and using it against them. In fact she says this during the scene P-Money was put on the list. We see this with the Queen Virus using the Atlas Drones against Vale and Atlas Military. We also see her recruiting youngsters like Mercury and Emerald. While certainly we'd need more info shed on her MO, it's not unreasonable to think she might want to brainwash Pyrrha for evil.
Okay, so Pyrrha has been teleported to Salem. Possibly dead or dying. How is Salem going to convince Pyrrha that evil is fun? Cookies?
As for our evidence for Grimm Powers we have two solid pieces of evidence. One being Salem. I mean look at her. She practically holds up a neon flashing sign with her design that Grimm-Human hybrids are a thing.
Secondly we have Cinder. Salems number two. During her confrontation with Amber we see Cinders use the Scarab to drain Amber of her aura and life. It's pretty obvious the Scarab was being used as a conduit. This also flat-out confirms that there are ways for humans to have some control over Grimm. Additionally however when Qrow interrupts this however, a lot of people have noticed that after this is when Cinders tattoo appears. Then at the V3 finale, we see Cinders quite clearly holding a conversation with Kevin, and Kevin NOT immediately try to eat her.
This says for certain that Grimm Powers exist in some capacity. Whether they work like we think we do is a matter of debate, but whether they exist or not isn't.
Additionally there are also theories that Raven and Qrow have Grimm Powers. Both isolate themselves from society, Raven's design has the same colorscheme as Grimm, black, red, and white, with a BIG Grimm Mask despite the fact she isn't in the White Fang. Qrow given his ability to shapeshift, which given the emphasis that had in the V3 stinger, isn't something mundane like Semblance. But there's no hard evidence to support those ideas.
So, we have Salem, presumably incredibly power, and most definitely having Grimm Powers, delivered a plucky Canadian virgin by Cinders. Well, from there you have a 9-11 month time-skip to brainwash and imbue with dark magic into a loyal minion.