The "desire" part is not in δυσ-, but in the uncompounded verb θανατάω. Cf. LSJ: θανατάω, Desiderative of θανεῖν, A. desire to die, Plato, Phaedrus 64b. Probably δυσ- just makes the verb more "unfortunate" or "hard." Cf. LSJ: δυσ-, inseparable Prefix, opp. εὖ, A. un-, mis-, with notion of hard, bad, unlucky, etc., as δυσήλιος, δύσαγνος; destroying the good sense of a word, or increasing its bad sense: hence, joined even to words expressing negation, as δυσάμμορος, δυσανάσχετος.