1)
Hazel is not alive, so that nice frail roommate is no longer "her" roommate.*
She may not even have been at the time, if she was Hazel's roommate at the chateau in France.
In any Shade would have had to add another foot to his verse, the word "former," to be strictly accurate, if he had used "her."

2)
There is nothing unusual in Shade's use of "that"--it cannot be called an error. Roommate implies a room, and the context puts Hazel in it at some point. If not college, at the chateau, or even Camp Climax (sorry, wrong girl). Hazel would have had, given her age and circumstances, several opportunities to acquire a roommate. There is  no ambiguity, in context. If the "she" of "she'd" is Hazel, that roommate is also hers. **

3)
Using "that" instead of "her" not only avoids the nonsense indicated above, but is an elegant distancing mechanism--Shade attempting to keep the pain of memory at arm's length even as he confronts it. "That...roommate" is apparently one of Hazel's only acquaintances (not necessarily close enough to be friends, by the evidence), which is painful for Shade to contemplate; her chosen celibacy (assuming that roommate keeps her vows) calls Hazel's not-necessarily-voluntary celibacy to mind.

4)
What kind of friend is a roommate? A roommate can become a great friend indeed, but college roommates (NB, it is not certain that "that roommate" was a college roommate, only that they sat together there) are often, even usually assigned for the first year. Another indication, perhaps, from Shade's point of view, of his daughter's social ineptitude: one of her only friends (or acquaintances) was perhaps not made by taking part in the college social whirl, but from being assigned to her. This also has implications for Hazel's rare and admirable side: the ability to make friends, though shy, when thrown together with a stranger.
 

*
Unless, on becoming a nun, she has moved into a Haunted Barn, or perhaps Hazel's crypt.
This seems to me an excessive attachment, even for a nice frail roommate.
 

**
This use of "that" is American-idomatic at the time.
"That Darned Cat" was shot in 1963. But Hodge shall not be shot!
http://www.thesmokinggun.com/archive/darncat1.html
 

===========================

1) Shade says Hazel had a roommate, and he should know.

Shade does not say that Hazel has a roommate. The reader is lead to make that assumption from Shade's statement that Hazel sometimes sits with "that nice frail roommate, now a nun."

Whereas Jennifer suggests that perhaps a roommate isn't a roommate, you and Jerry Friedman suggest that what Shade (and presumably Nabokov) meant to say was that Hazel sits "with her nice frail roommate, now a nun."

So why didn't he?  Why doesn't Nabokov allow Shade to say what you say he meant to say?

Is this very small error Nabokov's?

Carolyn