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As I was reading the story of St. Pelagia, I read that she threw herself out of a window because she was afraid of the soldiers that the magistrate sent to arrest her since she lived by herself. But, we consider her to be a saint even though she committed suicide and threw herself out of her window. I thought that whoever commits suicide for any reason is because they lost hope in God and they are not to enter heaven and our church doesn't even pray on them. Please clarify why we consider her to be a saint even though she committed suicide.

Suicide is seriously denounced in the church. In these horrific situations, the grief stricken family naturally needs special comfort through intense prayer and closure, which only the church can provide through the traditional funeral and burial services. The church uses wisdom, discretion, and compassion to first determine the cause of death. If it is known and documented that the person who committed suicide was mentally ill, the church will pray over the person in the common tradition of the prayers on the reposed. If in fact, it is determined that it was indeed suicide, the church may refuse the customary prayers for the reposed.

There have been some saints whom their martyrdoms appear as though they took their own lives.  St. Pelagia, whom you mention in your message, having hurled herself from the rooftop is mentioned in the first brief biography below. These kinds of martyrdoms depict the saints who preferred death than to lose their virginity. Thus, they hurried to escape the clutches of the perpetrators as though they are fleeing from fire. If one is in a burning room, would he/she not jump out to save his/her life? Under these extraordinary circumstances, this would not be considered suicide, because the person is not intending to die, but is actually trying to save his/her life.

The Coptic Orthodox Church commemorates one St. Pelagia on the eleventh day of the blessed month of Paope (October 21). The official biography of the life of this St. Pelagia, as it is recorded in the Synexarium, is as follows:

The Departure of St. Pelagia

On this day also, St. Pelagia, departed. This righteous woman was born in the city of Antioch to pagan parents. Besides a corrupt faith, she had a corrupt manner of life also.
  
She met a holy bishop, whose name was Paul, who preached to her. She believed in the Lord Christ through him, and confessed to him everything she had done. He encouraged her and taught her not to despair but to repent with a true determination. Then he baptized her in the Name of the Father and the Son and the Holy Spirit and she was illuminated by the grace of baptism. She led a penitent life with a firm heart and a pure determination. She exhausted her body with strenuous worship.
  
She dressed herself in the garb of men and went to Jerusalem where she worshiped in its sanctuaries. She met Abba Alexandros, Patriarch of Jerusalem, who sent her to one of the convents nearby Jerusalem. She dwelt there for 40 years and departed in peace.
  
Her prayers be with us and Glory be to our God, forever. Amen.