Natural Born Killers

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Prologue
Mickey Knox and his wife Mallory stop at a roadside cafÃ© in the New Mexico desert. A group of rednecks arrive and one begins sexually harassing Mallory. She briefly encourages him before beating him to a pulp. Mickey and Mallory then murder all but one of the diner's patrons, culminating in a morbid game of Eeny, meeny, miny, moe to decide who lives and dies. After executing the waitress Mabel, the couple ensures that the only survivor remembers their names before they embrace and declare their undying love.
Part I
Mickey and Mallory camp out in the desert, and Mallory reminisces about when they first met. A flashback (done in the style of a TV sitcom, including a laughtrack) shows Mickey as a deliveryman who came to the house where Mallory lived with her sexually abusive father, her neglectful mother, and her younger brother, Kevin. Mickey and Mallory fall in love instantly and leave together, as Mickey steals a car that belongs to Mallory's father. Soon Mickey is arrested and imprisoned for grand theft auto, but he subsequently escapes from a prison work farm during a tornado and returns to Mallory's house. The two kill Mallory's parents, but spare Kevin, and go on the road together and get "married" on the side of a bridge, celebrating by taking a hostage. Furious with Mickey's notion that they have a threesome, Mallory drives to a nearby gas station, where she flirts with the mechanic. They begin to have sex on the hood of a car, but Mallory kills him when he recognizes her as a wanted killer. During this time, Mickey rapes the hostage.
Part II
The pair continue their killing spree, ultimately claiming fifty-two victims in New Mexico, Arizona, and Nevada. Pursuing them is Detective Jack Scagnetti, who became obsessed with mass murderers after witnessing his mother being shot and killed by Charles Whitman when he was eight. Beneath his heroic facade, he is a violent psychopath, once strangling a prostitute to death. The killers are also followed by self-serving tabloid journalist Wayne Gale. Gale profiles Mickey and Mallory on his show, American Maniacs, soon elevating them to cult hero status.
Mickey and Mallory become lost in the desert and encounter Warren Red Cloud, a Navajo Indian, and his young grandson. After the two fall asleep, the Navajo, hoping to expel the demon he perceives in Mickey, begins chanting beside the fire, invoking nightmares in Mickey about his abusive parents. Mickey wakes up in a rage and fatally shoots Red Cloud before he realizes what he is doing. It is the first time Mallory and Mickey feel guilty for a murder. Fleeing from the scene through the desert, they stray onto a field of rattlesnakes and are both bitten.
They drive to a drugstore to find snakebite antidote, but the pharmacist sets off the silent alarm before Mickey kills him. Soon police cars arrive and Mallory is captured and subsequently beaten by the police. A gunfight breaks out between Mickey and the others. Scagnetti arrives and tells Mickey that unless he surrenders, he will cut off Mallory's breasts. Mickey gives up his guns, but attacks Scagnetti with a knife. The police taser him and the scene ends with Mickey and Mallory being beaten by a group of vengeful policemen as a Japanese news crew fronted by a female reporter films the action.
Part III
The story picks up one year later: the homicidal couple have been imprisoned, and are due to be moved to a mental hospital after being declared insane. Scagnetti arrives at the prison and encounters Warden Dwight McClusky, with whom he plans to murder the two criminals. McClusky will arrange for Scagnetti to be the driver for the Knoxes' transfer. Alone with the pair, Scagnetti will murder them, then claim that they tried to escape.
Meanwhile, Gale has persuaded Mickey to agree to a live interview that will air immediately after the Super Bowl. Mallory is held in solitary confinement elsewhere in the prison, awaiting her transport to the mental hospital. During the interview, Mickey gives a speech about how murder provides enlightenment and declares himself a "natural born killer". His words inspire the other inmates (who are watching the interview on TV in the recreation room) and incite them to riot.
McClusky, upon learning of the riot, orders the interview terminated despite Gale's vehement protests. Mickey is left alone with Gale, the film crew and several guards. Using a lengthy joke as a diversion, Mickey overpowers a guard and grabs his shotgun. He kills most of the guards with it and takes the survivors hostage, leading them through the prison riot. Gale follows, giving a live television report as people are beaten and killed around him.
Scagnetti enters Mallory's cell and attempts to seduce her. Mallory, feigning to reciprocate at first, rebuffs his efforts, smashing his face against the wall and breaking his nose, before two guards subdue her, and Scagnetti sprays her face with tear gas in revenge. Still live on national television, Mickey arrives at Mallory's cell, where he kills all the guards and engages in a Mexican standoff with Scagnetti, eventually feigning a concession. Mallory then approaches Scagnetti from behind and slashes his throat with a shank. To Scagnetti's horror, Mickey tells him that he was out of shotgun shells during the standoff. Mallory then picks up Scagnetti's gun and kills him.
Mickey and Mallory continue to escape through the riot torn prison, with Gale's entire TV crew getting killed. Gale himself snaps, succumbing to Stockholm syndrome as well as indulging in his own longtime fascination for murder, and begins to shoot at the guards with a pistol that he has taken from one of the dead guards, but gets so frenzied that Mickey prefers to disarm him. After being rescued by a mysterious prisoner named Owen Traft, the trio of Mickey, Mallory, and Gale run into McClusky and a heavily armed posse of guards. The trio takes cover in a blood-splattered shower room. McClusky threatens to storm the shower room; Mickey, in turn, threatens to kill both Gale and a guard on live TV, and the prisoners walk out the front door, to McClusky's utter dismay, as he helplessly threatens to hunt them down. McClusky and his guards are then quickly massacred by hordes of inmates.
Mickey and Mallory steal a van and kill the last guard; Owen's fate is unknown. Escaping to a rural location, they give a final interview to Gale, whose ear they have seemingly removed (implied, but as a camera track reveals), before they tell him he must die also. He attempts various arguments to change their minds, finally appealing to their trademark practice of leaving one survivor; Mickey informs him they are leaving a witness to tell the tale, his camera. Gale accepts his fate and extends his arms as if on a cross as they shoot him dead while his unattended camera continues to roll. The couple is shown several years later, in an RV, with Mickey driving and a pregnant Mallory watching their two children play.

Question: Mallory and Mickey feel guilty about whose murder?
Answer: Red Cloud