This hit me as I fell asleep last night, as a different take.
Bloom's knowledge of Stephen's death lies solely on the blood turning brown. Who told him that real blood turns brown? Stephen. How do we (the audience; Bloom) know that Stephen wasn't lying when he said that no fake blood turns brown? Maybe he made his own...
Essentially, what I'm getting at here is the idea that Stephen isn't dead. Mostly I'm basing this off of the very start of the film. Nora's character says to Bloom that Stephen likes to tell stories. Did he tell "the one about the cave"? Yes - we've already seen Stephen tell the one about the cave, because he narrates the opening sequence, having successfully convinced Bloom that he was killed by the Diamond Dog's henchman, and lived to be an old man. This theory rests further on two ideas (one of which I'm unsure about, having only seen the film once - if I'm wrong, the whole theory falls apart): to a lesser extent, the casting of Ricky Jay as the narrator of the opening sequence, a character that ostensibly does not appear in the rest of the film, but he's a storyteller (as, of course, is Stephen) and a magician (as is Stephen). The second one (that would put holes in the theory) is that [i]I[/] don't recall seeing the face of the thug who shoots Stephen at the end. I may have just missed it or forgotten, but I thought that must be deliberate. In which case, the thug is Bang Bang. Hence Stephen asking Bloom whether or not Bang Bang got out - he knows that she did, he has no reason to worry about her. He's basically asking whether or not Bloom realised that the shadowy figure he was just shooting at was Bang Bang.
I won't be able to see the film again for another 2 weeks, but I should be able to see it 2 or 3 times at that point, so I'll give this another run when I can. Anyway, feel free to debunk this if I've made a factual error.