There's no such thing like "kill signal". There are different signals application may receive from OS.
SIGKILL cannot be caught by any application. Never.
SIGUSR1 can be processed by auto-command (see
:h SigUSR1 in Vim and
:h Signal in Neovim).
SIGINT is caught and processed by Vim application. If it happens to run some script while SIGINT is being raised then that script can
:catch /^Vim:Interrupt$/ inside "try"-block.
SIGHUP, SIGTERM and alike force Vim to quit.