I would probably pick Azura. She is the only one of the four with magic and a slight chance of defended both of us from the others (although Cora would probably be the most dangerous, being an adult mountain lion and all). And I believe she would stay loyal to the end. That's just how she is.
I'd pick Katniss to defend me. She's strong and motherly and has antlers.
Bard is little..ehm...crazy? You never know when she can turn on ya' Despite her smol size.
Bishop is heartless and cold wolf-dog, it's hard to really trust him because he barely trusts anyone as it is.
Molla's just freaking terrifying lioness but not a threat since she's older.
Louise probably wouldn't care and probably take a nap on my sleep.