Mythbusters time. Salty fluids can be remarkably conductive. Blood qualifies. What's interesting though is that you have to wonder if there isn't some contributing factor here, as a kid I did this quite a few times, so that's one more for that list of stuff that could have killed me. At the same time: I didn't have nice insulation piercing tips back then (I do now) and that may be what saved me. I will definitely not try this again.

Another story in the same line is that I heard that a horse got killed by contact with a lantern battery, but I don't have any reference for that, just a story by a family member that collected coaches.