I think it's very probable that Bowie cut a demo version (presumably in the Ziggy sessions). However, all we have is speculation as (to my knowledge) there is no mention of a studio version of My Death. It's not on any bootlegs, for a start. Maybe, if we ever get that rarities set, the track (if it exists) will see the light of day.
ThEre's NOThINg oN thE radiO WHeN yOu'rE dEAd
THeRe'S NoTHiNG at ThE MoviE sHow wHen you'Re dEAd
There'S noWherE LEFt foR YoU to gO whEn yoU'RE dEAd