If he didn’t say it, he should have.
For example:
“Hurry! The Indians might get away!”
-George Armstrong Custer.
To begin:
“I’m going to tell the Empress, Felix! I’m going to tell the Empress!”
that definitely stumped me, but I cheated and googled it, is the answer
Rasputin?
I got one. “They couldn’t hit an elephant at this dist-”
Yes, to Felix Yussopov while running across the courtyard, having been poisoned, shot and beat with a stick. 
I can’t remember your guy’s name.
General John Sedgwick, at the Battle of Spotsylvania Court or something like that (I just remember the Spotsylvania part cause it makes me think of some polka-doted vampire or something). He was referring to a group of rebel army sharpshooters taking potshots at the Union lines. He said this right before one of them shot him. I believe he was the highest ranking casuality in the war, too.
Here’s one:
“These Eastern upstarts don’t look so tough. Am I right, guys? Uhhhh, guys? Where you goin’?”
(Maybe obscure?)