Cameo-d I believe it is not something that JWs, in general, reflect on. As it represents a quickly approaching restoration of God's Kingdom on earth this is the more important focus and a means to that achievement. They very rarely talk about witnesses dying during armagedon but it would appear that some loss would be inevitable - that is, only at the hands of man. I can't find anything at the moment that supports this view from a JW standpoint but I have heard it said by JWs One watchtower magazine says the following.
As the nations use their deadly weapons on one another and threaten to destroy the environment, the Maker of the earth will take action—at the Biblical Armageddon! (Revelation 11:18)
It is likely some will get caught in the crossfire or from other calamaties that will be occurring. However, if this was to happen they would have the prospect of resurrection. There will be some protection provided by God but the extent of this and at what stage is not known (that I am aware of).