Yes there can be a loud enough sound that it kills you.
Take for example a huge blast that causes a huge sound wave that could possibly knock down a house or other building and if you're in that building or house or outside near it then the sound could possibly kill you as it could explode you.
But it's rare that there will be sounds around in any area that people are living or working in that would be loud enough to kill someone.
Sounds can also be loud enough to just knock you down or even cause permanent hearing loss when just hearing it one time.
A sound can also be loud enough so that the ear drum gets a hole ripped into the eardrum.
For a sound to harm you the sound would have to be way over 120 DB.
And if the sound is gonna kill someone it would likely have to be a sound of 500 DB or even up to 1,000 DB or more.