Can you die / lose all your health at the very end of Bastion?
Solution 1:
No, you cannot die.
I played through twice, and when I took Zulf the second time, it became evident pretty quickly that I was taking more damage than I should be able to when slowly trodding toward the exit. I didn't heal up but remained alive until the point where they stopped attacking me.
It appears to be a scripted event for cinematic purposes.