I find that I take damage through a transition very rarely, but lag can certainly cause it. There is a lot of desync in this game, it is old, its netcode is far from perfect.
I have suggested it many times before in situations like this, where as Jeebs said, you just cannot get a screenshot unless you're anticipating it, even then it's dicey.
Consider a retroactive recording solution like NVidia Shadowplay or the AMD equivalent so with a single button you can capture the last few minutes of gameplay and improve context in dodgy situations. Record with equivalent resolution to what your game runs in but minimise the bitrate for best results with keeping text readable and file size low. Try to guess which of these was a regular, full quality screenshot, and which is a picture of a low-bitrate recording.
I have used Shadowplay before to help DMs determine whether certain scenarios were rulebreaks, and also capture unexpected bugs so Devs could see them. They will really appreciate the evidence. It would be nice if the entire community could get on this bandwagon to find more bugs and give DMs the proof they need. Also, in conjunction with one-click screenshot programs like ShareX, you can get angles that would've been highly unlikely in the moment for cool screenshots.
This is all to say that if you did get proof you died to a glitch, a DM
might be able to help you. But without proof...