I get that they're ginning up excitement with "Caravaggio's last painting was a murder scene!", but it's a bit of a schtick. As pointed out in TFA it was a commission, and so not exactly a "personal" painting. Furthermore, at the time of his death, Caravaggio was headed back towards Rome, with a pardon all but assured. He wouldn't have been painting Saint Ursula under a premonition of death.
If you want to see what was on his mind a few years earlier, when he really was in fear for his life, look at some of what he painted then: a Judith Beheading Holofernes; two Salomes With the Head of John the Baptist; a Beheading of John the Baptist (the only painting he ever signed - in the blood dripping from the evangelist's neck!); and, most memorably, David Holding the Head of Goliath, in which Caravaggio gives the severed head his own features. How metal is that?
If you want to see what was on his mind a few years earlier, when he really was in fear for his life, look at some of what he painted then: a Judith Beheading Holofernes; two Salomes With the Head of John the Baptist; a Beheading of John the Baptist (the only painting he ever signed - in the blood dripping from the evangelist's neck!); and, most memorably, David Holding the Head of Goliath, in which Caravaggio gives the severed head his own features. How metal is that?