It seems there were those in the Bible who prayed in such a way. Throw your burdens on Jehovah...he himself will you sustain. I wouldn't think an understanding God like this would view it as wrong to pray for death when he knows you are praying for relief rather than out of a lack of appreciation for life. Everyone who is alive has wondered how it would be to be the "other way". It's nearly impossible to see our way around our problems if we look for a solution when we are (H.A.L.T.) Hungry, Angry, Lonley or Tired. Often one prays at the end of a hard day or when all other resocuces seem to be exhausted. If you pray for death because you feel God can bring it about for you, why not pray for something really good like greater coping skills or for him to lead you to a solution to your problems. How many of us can remember what we were worrying about at this time last year. Death is a permenant solution to a problem that may only be temporary.
Is it wrong to pray to die? I don't think it's wrong to pray about anything on your mind. Part of the value in prayer isn't in the answer but in the relief that comes in having formulated our thoughts/worries into sentences rather than their being diffused random thoughts, draining us of energy and hope. Speaking to another trusted individual or even writing them out on paper is a great way to ease their urgency.