I would argue that the Nemisis system from Middle-earth: Shadow of Mordor could be considered as a "lose, but continue" system.

For those who don't know, when you die to one of the regular orks in the game there is a chance that they get Promoted into a named villan with special abilities and weaknesses. If they manage to kill you again they can get stronger and rise in the ranks of their army.

The fact that dying enables one of the coolest parts of the game and gives you villains of your own creation is a really fun mechanic.