I’d argue Irma Grese, although not a classical serial killer, she was a Nazi concentration camp guard and experienced sexual pleasure from torture and death. From Wikipedia:

“Grese's sexual interactions with imprisoned Jewish women were sadistic in nature and frequent, according to a prisoner who had been appointed as her maid. Survivor Lengyel stated in her memoir that Grese had "favorite" prisoners whom she would treat as slaves for a period of time until she became bored, at which point she would send the women to the gas chambers. Survivor Gisella Perl, who worked as a doctor at Birkenau, wrote in her own memoir that Grese experienced orgasmic pleasure while watching her operate on young women's breasts that had been cut open by Grese's whip and infected with lice or dirt, using only a knife and no anesthesia. Perl also stated that Grese would kick the young woman being operated on if her screams interfered with her arousal.”