This is Thrilling Mystery for January 1936, no cover artist recorded and no ISFDB entry. The rarity of this cover is that it presents its “heroine” not as being menaced or in peril but actually dead by the time the action depicted on the cover is occurring. I found this cover at Pulp Covers and verified its date in the Galactic Central index.
Headless, yes, but in magazines like thus that doesn’t necessarily mean dead.
Probably just about to stitch on a gorilla head.