What is the significance of Walter's last dream where he faces the "firing squad"?

Walter Mitty's final daydream in which he is standing before a firing squad seems to reveal a secret death wish and to show that he is a very unhappy man. He dislikes himself, dislikes his nagging wife, and dislikes the life he has to lead. He is living in depressing times because the world seems to be on the brink of another great war. He is too old to make any radical changes. In the first dream episode involving the hydroplane, the crewmen refer to Mitty as "the Old Man."

"The Old Man'll get us through," they said to one another. "The Old Man ain't afraid of Hell!"

Thurber never specifies Walter Mitty's age, but he seems to be at least in his late forties, if not in his early fifties. No doubt he has some kind of mid-level office job, like Erwin Martin in "The Catbird Seat." In another of Mitty's fantasies he is an daredevil pilot in World War I. In this episode he imagines the following dialogue:

"We only live once, Sergeant," said Mitty, with his faint, fleeting smile. "Or do we?"

His afterthought seems to suggest that Mitty feels he has never had a real life. He is currently living a life directed by his wife. This daydream in which Captain Mitty is going on a suicidal mission may also indicate a death wish. 

When Mitty kills some time in a hotel lobby and picks up a copy of Liberty magazine, we get a clue to his age:

"Can Germany Conquer the World Through the Air?" Walter Mitty looked at the pictures of bombing planes and of ruined streets.

The Liberty article obviously refers to incidents in the late 1930s, but Mitty puts himself back into the first World War as an aviator. This may be Thurber's way of showing Mitty's age. He knows he would be too old to fly modern fighter planes. Chances are he never served in World War I, but only fantasizes about having been in it. Thurber himself was flatly rejected because of his extremely poor vision. He writes about this experience in one of his humor pieces titled "Draft Board Nights."

In the hydroplane episode and in the World War I episode, Mitty is risking his life. Appropriately, he is facing certain death before a firing squad at the end. The reader would be justified in assuming that Walter Mitty, while leading a "secret life," is also harboring a secret death wish.