I have only read the first 4.5 books in the series so far so apologies if this is answered/explained in the second volume of A Dance With Dragons.
There is a common theme within the series of certain characters being imprisoned by, and at the mercy of, incredibly twisted and sadistic characters. The key major character pairings that spring to mind are
Sansa-Joffrey, Theon-Ramsay Bolton
although I am sure there are others.
I have noticed that despite the utter misery and pain that many characters are subjected to (be it psychological or physical), there is no mention of them considering suicide as a means of escaping their misery. Similarly the following characters
Sandor Clegane and Maester Luwin
both ask another character to end their life despite having a means of ending their lives at their own hands. Given some of the incredibly sadistic characters and actions in these books it surprises me that I cannot recall any situation where a character considers taking their own life despite clearly wanting to die.
This leads the the question of why this is? Is it explained anywhere in the novels and I simply missed it? Or is it inferred that suicide is treated as a sin from the viewpoint of the various gods/religions that exist in-universe (as it is in certain religions that exist in reality)?
Alternatively, please provide an example of such a situation if I have simply forgotten an instance/discussion of suicide?
NOTE: I know that in the TV series
Cersei considers suicide during the Battle of Blackwater Bay
but I am restricting my question to the books only.