Just some time ago I emptied a shell into the back of a TR HA's head at very close range with a Bruiser shotgun with slug ammunition. The hit marker sound was loud and clear with a nice connection latency of 31ms and connection quality at 'Good' with a smooth frame-rate. On the very first millisecond of the first shot, the Terran instantly, and I mean instantaneously, made a very quick turn and opened fired at the center of my head. The death screen showed a full health bar and half a shield bar. EDIT: Let me say I forgot to mention he didn't have any damage absorption shield running.
Well, the turn-around thing is the easiest part to explain away. Your client didn't get the packet about him turning around, so it didn't know to update that until it received the packet about him opening fire. That also suggests he might have been aiming and shooting at you far longer than you think.
It's too late to edit my own post; but, while I can ask, was the person who killed you the same person who you were shooting at? Are you certain?
How ironic. With the enemy possibly having a 200ms connection and abother 200ms for latency, you add your 31ms to it and you already have nearly half a second delay. With lag spikes possible, it could easily add up to a second or more. If the person has turned around, possibly because he saw him on the radar, maybe just looking around, then he could easily have started firing too. The information of the op being killed was given, while his damage package might still be en route. Or maybe the person had already received it, but this information wasn't send to the server yet, which thought the guy still had full health. This then showed up on his screen. Really, these kind of things happen often. All the times you are killed in only 2-3 shots? Latency and lag. Information packages with the damage arrive simultaneously to the person, resulting in one hitmarker but 2 or 3 actual hits. This is also why draws are quite frequent in this game. You have some extra time to shoot the other guy before the information of your death arrives. It gives a lot of strange situations and some lag switch abusers (activating it, walking around a corner, shooting you, resuming internet connection. Information send out about him turning the corner and killing you will be send and you can't do a thing). This thing the OP describes sounds more like latency problems than cheating, although cheating is still an option.