She is an entertainer, not a diplomat. There is no diplomatic immunity for her, unless some nation has designated her an actual diplomat.
She can “protest” by not going there.
If she breaks their law, she is subject to their penalties.
Actions do have consequences, sometimes...
I really don’t care what she does, although the thought of her spending time in a Russian jail is vastly more amusing to me than her typical “entertainment” efforts.
If she is (rightly) arrested and jailed, there will be a huge, silly outcry from millions of American and European fans, and the UN will get involved. We will have to see the whole silly thing on the news day and night. She believes she is immune, and she is probably right.