I agree this would be funny and a great ending for his story arc.
Maybe Peter cried out load, but Nat thought in pleasure and she did not regcognize him dying and rides him til she reaches her orgasm.
Afterwards she recognized something is wrong, she panics and runs home immediately.
Later the police arrives and starts questioning the neighbours about Peters unsual death.
The police tells them at the doorstep that it looks like the old man died from a heart attack during sex.
His body and the covers where found sweaty, besides he had an erection and they found sexy lingerie in front of his bed.
They are looking for a woman from his neighborhood who was possibly with him at the time of his death.
Then they knock at Nat and Ethans door and Nat opens it with a guilty facial expression on her face...
Maybe someone saw her running away from Peters apartment and start to blackmail Nat.