Unless of course you literally do, for example while performing an act called "The imaginary invalid".
https://en.wikipedia.org/wiki/Moli%C3%A8re#Death
Sorry, not much related to the otherwise very interesting article, but my brain kept insisting on this bit of knowledge every time I read "you won't die on stage".
Wikipedia has an article[0] of various people who died on stage and also some shortly afterwards, such as Molière.
I was going to suggest Sid James as a replacement for your anecdote, although he was pronounced dead on arrival at the hospital, so it's possible he died en route. The chap after him on the list, Aimo Leikas, seems like a good candidate as he shot himself during a very convincing Russian roulette act.
[0] https://en.wikipedia.org/wiki/List_of_entertainers_who_died_...
But yes (erm, I mean, "And yes") your russian Roulette example and the whole Wikipedia article is probably better for pedantic points ..