I don't think they were supposed to be a couple. They just had a co-dependent psycho relationship. One thing I liked about the film was the way they made Ray seem like the one in charge while Albert hung in the background like his sidekick. Then, at the end, it turns out that Albert was really the dominant one after all, and Ray was just the mouth.
As for why Albert killed Ray, it seemed like simple practicality to me. Ray had a gunshot wound that Albert probably didn't know how to treat, and he couldn't exactly take him to a hospital. He'd stopped being useful to Albert and was now a wounded liability, and it was only a matter of time before Scudder tracked them down again. Albert just wanted to clean up and leave town, which included ditching the dead weight that Ray had become.
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