So I was in the maintenance tunnels, SCP-106 spawns, I have either two options:

- Attempt to run and escape SCP-939. Near impossible as it was two meters away from me.
- Let SCP-106 take me and attempt to escape the PD.

So I take the second option, wait for him to take me, but instead he just kills me. Is that normal behaviour?

Yep, sometimes he just kills the player outright. That happened to me more than once when I tried visiting his chamber to contain him and failed to do so.