I don't know haven't died in the last round but i presume it sends you back into the bathroom where you get back up again?
The only thing you’ll see is a shot in the face from which you will never recover. It’s the ending. Pathetic, but fair and believable.
Closing the game because there’s essentially no point in continuing to keep it running is quite natural. Especially given the almost complete abandonment of the UI, pause menu and other stuff.