X-Com players have always been a bit immersive-driven and even masochistic, yes?
Why not drive home the point that "Dude, your guy who was alive last turn is now DEAD. You failed them. You failed humanity. They're DEAD. It says right there on the screen - DEAD. Where their health and TU's and morale was - it now says DEAD, and it's your fault."
Simple - replace the current gap or disappearance of the dead soldier's mini-information bar with their number on top of the "currently selected soldier information bar" - with the simple, capital letters word "DEAD".
That's it. Guilt trip the players. No further suggestions, Your Honour.