According to Fifteen Years Among the Morons, the above is the phrase uttered by Joseph Smith at the time of his death. Is there any other source that agrees with this?
According to sources, he only yelled out "Oh Lord, My God!" before getting shot climbing out the window.
As he was a Mason, He was mostly likely trying to utter the phrase "Oh Lord, my God, is there no help for the Widow's Son?" Which was the Masonic call for distress.
In all likelihood, he was just trying to see if any masons in the crowd would help save his ass.
I've never heard the phrase you describe above, so I'm not sure where that comes from.