Tested as of Cataclysm: Dark Days Ahead 0.E-3-1, seems possible built-in:
  • Disable autosave on settings
  • Quisave (Esc + 9)
  • To restore the save, just close the game window directly before clicking Yes or No on the "Watch the last moments of your life" dialog.
A less risky save scum can be achieved with rsync:
rsync -av ~/.local/share/cataclysm-dda/save/ ~/.local/share/cataclysm-dda/save.bak/
and after you die:
rsync -av ~/.local/share/cataclysm-dda/save.bak/ ~/.local/share/cataclysm-dda/save/