Yes there have been some people who have died from severe sleep apnea.
It's very rare to die of sleep apnea but it's entirely possible especially if you do have severe sleep apnea.
The people that do usually die of sleep apnea don't use their CPAP machine like they should or don't use it properly and that's one reason they die.
Out of 100 percent of sleep apnea patients 19 percent of those sleep apnea patients die of the sleep apnea.
Many people who do have sleep apnea though manage it with the CPAP machine and live a good long natural lifespan.