Should dying have won us the game when playing the voodoo haunt?
Sounds to me like you met the victory conditions: not too many people dead, and all the dolls gone. (Unless there's a "you can't win by dying" clause; I don't own the game.) True, it's not the best rules writing - the victory condition is basically equivalent to at least half the heroes destroying their dolls while still alive. But here's a lot of badly written rules text in the haunts in Betrayal; at least in this case it's still clear enough.

In terms of feeling let down: would it have bothered you as much if you'd died first, then your friend destroyed his doll? Probably not. But of course, it's silly for that to be a win and your game not to be.