I had heard about premature burials, which happened more than anyone in the 19th century would like to admit. The two concerning hangings though I have never heard before. The case of the Delaware woman is certainly a sad one, but not so tragic since she intended to hang herself. The other, with the man trying to perform a stunt and actually lynching himself in front of a live audience is horrifyingly tragic.
Oh, speaking of tragedy, this isn't an urban legend though it really should be (mainly because it's oh so true...or is it?): during a staging of Macbeth the prop dagger was somehow mysteriously replaced with a real one. Unknowingly, the actor playing Macbeth thrust an actual weapon into the chest of the poor sap playing King Duncan, actually killing him in front of the audience. Thespianism be damned, the Macbeth was mortified and immediately stopped the play and called for an ambulance. Jeez, what happened to the art of improvisation?
This is just one reason why Macbeth is considered a cursed play, so much so that serious actors do not mention it by name, instead calling it "the Scottish play".