As seen in: Prince of Persia: Sands of Time, Assassin's Creed, Tales from the Borderlands
We all know how it goes when you tell your friends some incredible personal story: you fudge the details and forget things, so you sometimes have to back up and correct yourself. Most of us stop short of claiming we died during our travels, but video game protagonists have a habit of trading in extremes. When they describe their adventures after the fact, they'll detail their own demise before remembering that they're very much alive, and none of that actually happened.
Being able to explain away death as overenthusiastic storytelling is a happy accident - the frame exists for bigger reasons, to keep you wondering how (rather than if) the hero escapes deadly harm to recount the story later. That makes this non-death a close cousin of the standard revert-to-checkpoint approach, but one thing saves it: its sense of humor. You get to feel like you're in on the joke, and hearing how the protagonist explains away their mistake can be worth the failure. It can even seem logical, if it's worded carefully enough.