Weird West players are getting new features when patch 1.04 drops, and one of the features is a permadeath mode.
Dubbed Nimpossible Mode, manual saving will not possible. Instead, the game will auto-save your progress, and you can play and reload from that single dedicated auto-save slot only.
Nimp Heads you find during your Journeys will allow you to resurrect, but once you are out of Nimp Heads, death is permanent and the auto-save file is deleted.