OK, so maybe it was more than just once
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First up, chronologically, is 1973′s Sgt. Fury and His Howling Commandos #114. In #112, Fury believes he was a in a plane crash that killed all of his fellow Howling Commandos. At the end, it turns out that it was just Baron Strucker messing with his mind. In reality, there WAS a plane crash (which Strucker used to kidnap Fury) but the other Howling Commandos were fine. They just think it is FURY who is dead!
#114 has everyone reacting to Fury’s death, in a series of really great pages by Gary Friedrich, Dick Ayers and John Tartaglione…