When any one of your troops dies, or are you talking about one specific soldier?
If you mean any one of the player's soldiers, you can use the Your Troops Killed trigger, set it to one, and set the player to "any." Then set the associated action to "Lose"
If you mean a specific soldier, unfortunately this might not be possible in the manner you're hoping for. You can create a "protected" soldier belonging to another faction, which if it dies will trigger a loss, but the player will not be able to control that soldier. I did something similar to this in
this map, wherein if the green lord dies, you lose.
-DOOMBRINGER-
"DOOMBRINGER, make a parking space IMMEDIATELY!"
"DOOMBRINGER declares it to be SO!"
"DOOMBRINGER, I command you to lay siege to THE ISS!"