|Kika (1993) [Murdered Woman]: Shot several times by her estranged husband while being interviewed on live television by Victoria Abril.
Pigalle (1994) [Divine]: Reportedly shot, then thrown out of a car. (I haven't seen this movie myself.) (Thanks to Etienne Li)
La Chatte Andalouse (2002) [Rosa Maria Dolores]: Reportedly dies in the hospital of a terminal illness. (I haven't seen this short film, which does not appear to be available in the US, and is not yet listed on the IMDB.) (Thanks to Etienne Li)