At first I thought the demo is just horribly bugged, given that I start every new game dead. Turns out, you simply have the worst death screen mechanic imaginable: it's shown before you die, even before the event that causes your death.
The death screen pops up, you select any of the given options, then you hear shots being fired and your character dying. That's extremely frustrating. It doesn't matter that the game knows what happens next, I don't.