I'll preface this by stating that I used to be one of the worst F5/F9 offenders in the history of gaming. That being said, let's continue:

The save functionality in this game is to keep your progress when the game is not running; whether that's due to a power failure, a crash, or just turning off the game because you have to get up for work in... (checks time) three and a half hours, it keeps you from having to start over because something made you stop playing.

Dying is part of the experience. When you die, a new save is created while you're respawning. The save functionality is supposed to be for preserving your progress, not save-scumming, and I think it does a pretty good job.

Now; all of that being said, you can load your character from backup if you insist, but you have to exit to the main menu and click the "Manage Saves" button to do so. The process is tedious, and I'm fairly certain that it's intended to prevent exactly the sort of use that you want to put it to.

My advice? Take the L and move on. Treat it as a learning experience, and try not to die in that exact way again.