Episode 1 of Marvel's What If..? gave us a whole new perspective about the First Avenger and it introduced a different hero with Peggy Carter taking up the shield and suit. However, her story took a sharper turn than that of Steve Rogers' that even when they met the Fury after 70 years, the circumstances were not the same, at all, so, here is the ending explained.
Warning! This portion may contain spoilers for Marvel's What If..?. Read at your own risk!
The Ending of Marvel's What If..? Episode 1
The pilot episode of the canon show, What If... Captain Carter Were The First Avenger?, took everyone with familiar characters meeting a different fate as it goes back to 1943 when Captain America was supposed to be created. The plan did not go as it was supposed to, instead, the bomb took off the moment Steve was in the chamber.
As the courageous scrawny Brooklyn kid Steve is, he got up on the table but missed the shot, resulting in him getting injured and unfit for the procedure. Since the facility was already in flames and the project is still not pushing through, Peggy Carter jumped on the machine without hesitation, not even having to convince the general nor Howard Stark to do it. All they know is that the procedure must go on or they would lose it forever.
Peggy Carter becomes the super soldier and since she was a woman at a time when men thought she belonged behind the desk, she had a lot more to prove than what Rogers did in the original timeline. She made them see who she is and what she is capable of, therefore, earning the reputation she has – a super-soldier.
She got Zola from a Hydra convoy, single-handedly saved the 107th battalion from captivity, and she put Red Skull to where he belonged. However, it is not without a cost – herself. When the monster Hydra summoned came out of the portal, she didn't hesitate to take her strength to push it into the portal, out of reach from everyone, even if it meant she would go through it as well.
By the time the portal was opened again, 70 years already passed, and she missed the dance she planned with Steve. She met Nick Fury and Clint Barton, longing for the time she didn't even know she lost.
The story ran in the same vein as that in Captain America: The First Avenger, only with a different hero and circumstances. While Steve went under the ice for 70 years, Peggy went through a portal. If there's a huge difference, Bucky didn't fall off the train, and of course, wherein the universe could Peggy arrived. All these were told by Uatu, and he tells he would never interfere, as he is The Watcher.