At the beginning of the movie, Odin tells Loki that it's because of Frigga that he wasn't executed for his crimes, and then says "and you'll never see her again." This would lead me to believe that she has been forbidden to visit her son in prison as part of Loki's punishment.
Shortly afterward, we see the scene of Loki talking to Frigga in his cell, the last lines he supposedly said her being that she wasn't his mother. When she calls him on his lies, he looks about to cry and reaches for her hands, only for her to dissolve, showing that she was only a projection of his mother.
We all misunderstood this scene!!! That was not a projection that Frigga sent, despite Odin's orders, to visit Loki in his cell. How do I know this? When Loki hears of her death and sends the blast of magic, it does not penetrate the barriers of the cell. Why? Because the cell was specifically designed to keep him and his magic inside, and everyone else and their magic on the outside. Frigga could not have sent a clone in because her magic would not have been able to penetrate the barrier. Otherwise, Loki could have been sending clones to the outside, which he wasn't.
Loki created a clone in the image and likeness of his mother as an act of defiance against Odin's ruling that he would never see her again, and made her behave as Frigga would have towards him in this situation. This is why when he forgets himself and tries to touch her, she disappears, and he looks distraught. She was never there in the first place. Everything she said to him was just his conscience, speaking in her voice. The last time he saw his mother was before Odin told him his punishment, when she was sent from the room.
She was the last person in the universe that Loki cared about, the only one he valued the opinion of. His real last conversation with her showed that even she was ashamed of him, and he couldn't bear it to end that way.
Excuse me while I go curl up in a ball of feels and cry forever.