St. Ambrose: De virginibus - Book III, Chapter VII of St. Ambrose's treatise "Concerning Virgins" tells the story of St. Pelagia of Antioch. - http://www.ccel.org/ccel/schaff/npnf210.iv.vii.iv.vii.html
Lives of the Saints - Entry for St. Pelagia, virgin and martyr. With a long warning against suicide. From Fr. Alban Butler's Lives of the Saints. - http://www.ewtn.com/library/MARY/PELAGIA.htm