I didn't let her shoot me because I just couldn't bear (bare?) the thought of making her go through with it. Like other people said, Lee is no longer a threat, it would waste a bullet, noise, etc... and I don't know which is worse. Making her kill her only parental figure right after seeing her parents as walkers or letting her live with the thought that he became a walker.
I don't know, personally I'd rather have her live knowing Lee's a walker, because like he said: "It won't be me.".... but like every single choice in the game, this is arguable. Each person is gonna have his or her reason for doing it. Anyhow, I don't think Clem is gonna get attached to anyone else as much as she was to Lee, so I don't think her having to off someone she really really cares about is going to be an issue simply because I don't think it'll happen.