Rather jarringly, if you try and take the Rubaiyat out of the boiler room directly, Vlad catches you, takes it off your hands, and promptly shoots you in the face.
After you knock out Zeitel at the top of the funnel, you climb back down and get knocked cold by Vlad (notice a theme?) wielding a very large wrench. You come to, and the ship has already been sinking for over an hour (it's 1:05 AM) — and you can hear things or people splashing into the water around the ship as you scramble to complete your mission before the last lifeboat leaves.
And if you fail to do that in time, you get several minutes aboard the ship simply to run around and contemplate your inevitable fate.
The cut-scene of Haderlitz getting electrocuted in the electric bath if you take his ring to Trask to get a reading.
All of the Alternate History bad endings are...less than ideal, but the worst of them is probably Nazi Germany managing to create nuclear weapons and then using one of them on Britain during an alternate World War II. The protagonist is killed by this very bomb, no less.