One could argue that Henry Vaughan's speaker, likely intended to be the poet himself, expresses a death wish in the poem "They Are All Gone into the World of Light!" in the final stanza, where he asks God to dispel the mists that prevent him and all of humankind from understanding death or, failing that, to take him into the afterlife.
Vaughan's poem can be seen primarily as a lament on the speaker's part that he doesn't quite know what death is. Alone in life, without the friends who have all vanished from this mortal coil, the speaker has an especially good reason for wanting to know what death is all about.
He also wants to know about the afterlife. To this end, he'd dearly love to be able to see behind the mysteries of the next world obscured by the "dust" of death. This desire is expressed in the fifth stanza, where the speaker addresses the personified figure of Death—note the capital d—and describes him as "Dear, beauteous Death!"
However, it isn't until right toward the end, in the poem's very last stanza, that the speaker expresses what could be described as a death wish. Here, he asks God to clear up his confusion concerning death. If, for whatever reason, God chooses not to accede to the speaker's request, then the speaker would like the Almighty to remove him to "that hill," which is a euphemism for the next world, the afterlife.