As you say, the Cold War was not an actual war, but there was plenty of actual violence that happened during the Cold War because of the tensions between communism and the West.
To take a large example, the Korean War happened because of the Cold War. More than 36,000 Americans died in that war, not to mention hundreds of thousands of Chinese and Koreans.
But there were also smaller numbers of people killed in lesser encounters during the Cold War. One example of this was Major Rudolf Anderson who was killed when the U-2 spy plane he was flying on a mission over Cuba was shot down during the Cuban Missile Crisis. There were many other small-scale incidents like this.
So, while the Cold War itself was not a shooting war, there were plenty of people who got killed as a result of the tensions.