Not from Lucid Dreaming, but I heard (I have really no evidence of this, haven't even researched it, so it may just be pure bullshit) that someone died during sleep paralysis due to a heart attack.
She "suffered" from sleep paralysis almost every night (I put ' " ' around suffered because I bet that most of us wish we had SP every night), and one of the HI's was so intense that she got a heart attack O.o.

However, I guess that if that really is true, she had no idea about what SP was really about, she had a weak heart and didn't know about lucid dreaming, more specifically the WILD technique.