How can I hook into creating a new post and execute wp_die(), before the post is inserted into the database?

Try filtering with wp_insert_post_data instead. It’s from wp-includes/post.php, line 2864.

add_filter( 'wp_insert_post_data', 'post_publish_filter_wpse_82356' );
function post_publish_filter_wpse_82356( $data ) {
    // view/manipulate $data
    if ('publish' == $data['post_status']) {
        $msg = '<pre>' . var_export($data, true) . '</pre>';
        wp_die($msg);
    }
    return $data;
}

publish is the post_status when you click the Publish or Update button. The four statuses I’ve found are:

• auto-draft – self-explanatory (also, status is set to this when you click Add New)
• draft – when you click Save Draft button
• inherit – when you click Preview button
• publish – when you click Publish or Update button