Sorry to butt in a year later, you're right that it's not properly explained, but it's a lore reference and I feel like I should say this.
You cannot win against La Castanyera, only survive.
You survive by dodging the chestnuts because Marrameu Torra Castanyes died when a chestnut exploded on him (R.I.P. Marrameu Torra Castanyes) and you're supposed to cheat fate by evading what happened to him. But you can't do so forever, because, if La Castanyera wills it, you will always die in the end.
(La Castanyera is not murderous in Catalan lore, but Marrameu Torra Castanyes did die of chestnut explosion in the children's song, and it is theorised that Marrameu Torra Castanyes was actually La Castanyera's cat, which would mean La Castanyera is a neglectful cat owner. Despite this, La Castanyera is usually presented as a kind old lady in Catalan lore.)