The star did not give a reason for her early exit, but US media have linked it to her public break-up with NBA star Thompson.
She appeared to accuse him of cheating in an Instagram stories post which is no longer visible on the site.
Thompson, 36, has not yet responded publicly, but BBC Newsbeat has approached him for comment.
Fans have also speculated that Megan’s earlier hospital visit during the show’s run may have been a factor.
After abandoning her performance in March, she wrote: “I thought I was gonna faint on stage, I really tried to push through my performance but I just couldn’t”.
She said she had been pushing past her limits “running on empty, and my body finally said enough. It honestly scared me.”
