"the final girl" is the expression. To say they are "the final girls" does not give such an obvious connection to the known concept of "the final girl". Also, "both", each one is a girl, not girls. We are the final girls. We are both the final girl.

The "Final girl" is a common horror movie trope, they're hinting at that particular type of character, sort of breaking the fourth wall because they know that according to movies' rules and expectations there shouldn't be the two of them, but only one "Final girl".