"That" functions as a subordinating conjunction in the sentence:
Who are you?
is the main clause.
You are afraid of man who dies....
is the subordinate clause.
"That" doesn't function as a relative pronoun in this sentence but as a subordinating conjunction. It doesn't matter what part of speech it is but what it does in the sentence.
To function as a relative pronoun, it would have to replace a noun phrase in the sentence, e.g.:
This is the house that Jack built.
In this sentence, that is a relative pronoun that replaces the house:
Jack built that; Jack built the house.
The relative pronoun in "This is the house that Jack built" (that) also subordinates the dependent clause to the main clause. "That Jack built" isn't an independent clause unless "That" is the demonstrative pronoun "that" and the sentence is pronounced with heavy stress on "That". In that case, there should probably be a comma after "That": "That, Jack built" to indicate a slight pause, but it's not necessary.
It's not normal word order in most cases, but it's certainly possible and not even uncommon. Scenario: a wall with three paintings.
A: See those paintings?
A: Well, this John did [pointing at first painting]. That Jack did [pointing at second painting]. And that I did [pointing at third painting]. Which do you like?
B: Well, this I don't like, that I like, and that third one I don't like at all.