Think I've just figured this out. So when you click 'investigator eliminated' it gives you the option to 'end game'. If you click on that then you get the flavour text. However if you click on the separate end game option it just exits the game! Bit confusing.

So my wife and I played Escape from Innsmouth today, but we failed due to my character dying. My wife was nowhere near finishing, so we clicked on 'end game' from the menu. We were expecting some kind of outro, along the lines of the intro(!), or even just a screen that said 'Failed' or something like that. However, all that happened was it dumped us back at the main menu. We both found this very anticlimatic, and not really in keeping with the playthrough to that point. Am I missing something? Was that the correct way to end the game?