It did happen though however rare.
found this one:
http://www.uboat.net/men/muetzelburg.htm
There was also the commander who killed himself during patrol aboard U-505.
But in my brief research i had trouble finding a large number of Kaleuns who died at sea without the loss of the boat.
as an option in SH5... it would be something that would be a one in a million thing to have happen... but it might serve to make players more cautious in surfacing next to a DD to duke it out with guns.