It is possible for a baby to die in the mothers womb without the mother knowing about it and it's called a intra-uterine fetal death when a baby dies in the womb.
Most times though the mother will have some symptoms that may alert you to a fetal death in the womb which can be decreases in the usual signs of early pregnancy, such as nausea and breast tenderness, vaginal bleeding that may start as a brownish discharge and cramps or other pain in the pelvic area, lower back or abdomen.
If you experience those symptoms during pregnancy it's best to go see a doctor about it to find out whether the baby is still alive or not because sometimes the baby could be dead but hopefully not.