You could certainly die of shock. TAR is metaphysically different from normal dreaming as the dreamer is more solidly there.

I've also heard of experiments done that involve blindfolding a patient, pouring warm water down their arm and telling them that they're bleeding to death. End result, the patient died.

Another involved putting a patient into a clean, new hospital bed, and then lying and telling them that the former inhabitant had died of cholera. The patient then exhibited the symptoms of cholera and died themselves.