Just after his first death and before he met the others, Booker thinks he really is dead. I mean, there's no reason for him to think otherwise, right?

/Also this says Booker in the header but I can see this happening with any of them - Andy regains her immortality but thinks the afterlife is just more of what she's been doing for millennia? Quynh after her escape unable to believe she didn't die for good in the ocean? It takes a while longer for them to find newly made immortal Nile so she thinks hell is hanging with your fellow soldiers and your hellish CO for eternity? Whatever floats your boat!