Yes it is possible for a baby to die in the mothers womb at 9 months even when the baby is full term.
When a baby dies at 9 months in the womb it's usually called a intra-uterine fetal death and happens during the last half of the pregnancy or even sometimes during the birth of the baby or when the mother goes into labor with the baby.
When a baby dies during birth or labor and is born dead it's called a stillbirth.