Kay and Micheal loved each other. The always did and always will. Both of them, deep down inside know that but its these things that Micheal has grown up with, these values that make him, only on the outside, a ruthless killer. In GF3, I don't think Kay likes Micheal any less when she sees him close the door on her again, she just was remided that, well once a corleone, always a corleone. At the end though, Micheal is out of the business and at the opera, you can really see them getting along. If Kay hadn't been married, I do think a strong realtionship would have formed. However, when Mary was shot, Kay probably did feel a lot worse about the business. Kay, all these years in the mafia life, never really lost a loved one and this probably hit her like a cannon. But Kay had to realize Micheal's struggle to get out of the business...but the facts are, she didn't.

But anyway, I do believe that if Mary's death hadn't occered thenm they would be extremely close friends.