After that he's in a fight with the Guild pirate Sandra, who's using a powerful lightning gun against him. How does Cobra defend himself? He rips out a bunch of iron bars and hurls them directly into the lightning bolts, because IRON ABSORBS ELECTRICITY! Sorry Cobra, it doesn't...
He's Just Hiding: Rock Knight in the Sega CD game gets this a lot. Many fans have declared Fanon Discontinuity on his death. This includes the boys at Retsupurae, who shouted cries of "NOT CANON" instantly after the death scene in question.
A game based on the Royal sisters storyline was released for the Sega CD, and is generally regarded by those who've played it to be pretty bad, with Cobra as a Designated Hero through most of it and every other decision tree having But Thou Must pouring out of it. It was the subject of a seven hour MST by Retsupurae.
Inverted if you're talking about the more recent lightgun game, based on the same storyline, although Your Mileage May Vary since its gameplay is damn-near identical to Time Crisis.