Death absolutely provides thematic material in Wuthering Heights. First, the father's death early in the story leads to the theme of abuse and how abuse and neglect draw Cathy and Heathcliff into a very close bond. Second, Cathy's death has a shattering effect on Heathcliff, and third, even if he does not love as deeply, Linton mourns Cathy's demise and never remarries, showing that death changes lives.
An important theme arises from Cathy's death. The novel is metaphysical, meaning it posits, or argues for, another world beyond the material. Cathy believes that after she dies she will be flung on the moors because she doesn't belong in heaven: nature is her true home and where she longs to be. In the novel, Cathy and Heathcliff might be separated in life by her dying, but the intimation in the novel is that their love is so deep and their souls so tightly intertwined that they will be together after death: a love like theirs cannot be killed.