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Averted. When The Coronation was published for the first time, many Russian readers really were convinced that Fandorin is Killed Off for Real. This was probably helped by the book's subtitle "Posledniy iz Romanov", which can be read both as broken Russian for "the last of Romanovs" (dropped by Mister Freyby about Tsar Nicholas II near the end of the book) and "the final novel".
But played straight in The Black City, which ends with Fandorin getting shot in the head.
Magnificent Bastard: Anwar Effendi in The Turkish Gambit. Marie Sanfon in Murder on the Leviathan.
Nightmare Fuel: Before the End of the World. Even Fandorin himself had nightmares after that event.