Several people already tried this, for an interesting guide through such an endeavour see →Perl's Warn and Die Signals.

The "official" statement is in perlvar. If you look there for __DIE__, there's the statement

When a __DIE__ hook routine returns, the exception processing continues as it would have in the absence of the hook, unless the hook routine itself exits via […something that would lead to the end of the program, anyway]

The above mentioned documents put (and answer) the question "how", more important is the question "why", which you must answer yourself.