Back before YouTube was well policed, someone uploaded a video for the song "(Don't Fear) The Reaper" which was a movie that goes exactly like the last verse – there's a woman dying on a couch, then Death comes and the curtains blow and then she looks over her shoulder and says "goodbye" and flies out the window with Death.
The movie is very old, an early "talkie" maybe 1930s, and the couch looks like it's in a New York highrise, the view out the window is over the city. She is cheerfully waving goodbye over her shoulder as they leave out the window. The video used the movie throughout the end of the song after the instrumental break, but I'm pretty sure that video is gone now.
Any idea what the movie was?