I don't think anyone can explode themselves from sheer force of will. (Sheer force of will and an explosive device they built, sure.)
But otherwise believing you took something that's going to kill you, and then dying, does seem possible. People die from culture-bound syndromes all the time, like those Hmong refugees in the 1980s who had visions of angry ghosts and then died in their sleep of cardiac arrhythmia.