Mario doesn't die when he loses a life, he's sent to hell alive, Doomguy-style
A deep dive into Mario lore reveals that he doesn't die and go to hell; he is sent to hell alive.
What happens to Mario when he loses all his lives? Probably something you've not given much thought since you just use a continue and carry on, or start the game over. Well, the difference between Mario's death in Super Mario World and Super Paper Mario implies that Mario gets sent to hell, but he isn't dead when he gets there.
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