To continue in the same vein of pedanticism, it seems from your link that he did not actually die on stage, but some hours later.

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_...