You already name some solutions which is good to see! Like you mentioned, hex, curse or immunity are very general counters to many fighters and that includes megalomaniac, so you dont need to bring anything special for her specifically. This is probably what seperates a good defender from a bad one: good defenders like unholy host don't get redundant by simply bringing an immunity or curse unit!
I would indeed just tag her in first. Since she doesn't do any damage anymore, bringing an immunity taunt with characters like squigly and parasoul is also really safe, if you forgot a tag out. Her evasions are not random so you can safely trigger them by e.g. launcher her just before her health threshold and dealing damage while she is airborne, not allowing for a punishing hit.
At the end of the day, she gets countered by a single move (tag out), so make your games easier and bring it with you!
Deadeye is also really handy if you don't like dealing with evasions, and using a single blockbuster against her will make her unable to use her second ability!
If you want some videos of fighting her, I suggest asking on the official discord.
Hope you will have more success fighting her in the future!