I will also point out the book and actual play series from Beadle & Grimm, "Faster Purple Worm, Kill! Kill!"
These are a series of TPK one-shots where players walk in knowing they are all going to die before the session is over! Not everyone's cuppa tea . . . but OMG, the actual play is super fun to watch! I want to run this with my home group, but . . . they don't seem excited about the idea.
"No-win" scenarios are NOT "bad DMing" . . . they are different DMing. Storytelling styles that will work for some groups, and not for others. The important thing is to know your players to make sure there isn't a mismatch!