Hi,
He couldn't have died in Love County because it didn't exist until 1907. Love County was formed from a part of Pickens County, Chickasaw Nation.
Anyway it seems like copy of his death notice might help you. You won't find a death record because they weren't being used until 1907.
Did you contact the Love County Historical Society,
www.facebook.com/pages/Love-County-Historical-Society? Someone might be willing to copy his death notice for a donation to their society.
If not, you can contact the Oklahoma Historical Society,
www.okhistory.org/research/. Another contact is the Oklahoma Genealogical Society,
www.okgensoc.org/services.htm.
If you still don't find proof of his death, I'd contact the Love County Clerk who has will/probate records. Be sure to ask if they have the records from Pickens County. Successful Searching!