You could have given them a chance to get out and revive their hero somehow. Maybe brought in a friendly NPC. Basically, rather than fudging a roll, you figure out some narrative way to allow them to continue. But, the way you played it was probably the right way to go.

Losing characters sometimes happens. Sometimes it's an opportunity to change things up. If they take the opportunity, they can end up creating another character that they love. Just maybe don't make them start at level 1.