As I know, he didn't die, now he is living with Germany
Edit: I think she means how he's not on the map anymore. After WWII, Prussia's land was given away to Poland, Lithuania and I believe Russia as well. Since it's land was given away, it disappeared off the map but is still there today. Though he does live in Germany's house, so fans believe he is now East Germany since he calls his bruder West.
EDIT 2: Prussia never died, as shown in recent updates from Himaruya, such as "Prussia's Sh*t Cleaning". He did, however, stop being a country and historically, the answer above is correct.