"Paul's Case" ends with a splat as Paul jumps in front of an oncoming train. If you're looking for a story to make you feel warm and fuzzy inside, keep on looking. Basically, what's happened here is that a tender little caterpillar finally emerged from his chrysalis—hm, his case?—right before getting smashed on a windshield. In Cather's words:
He felt something strike his chest, and that his body was being thrown swiftly through the air, on and on, immeasurably far and fast, while his limbs were gently relaxed. Then, because the picture-making mechanism was crushed, the disturbing visions flashed into black, and Paul dropped back into the immense design of things. (1.66)
These lines argue for a particular view on life and death, but not one that's necessarily easy to pinpoint. Notice we have no mention of heaven or hell or reincarnation or other conceptions of the afterlife. At the same time, the line does not exclude such things. The words "immense design of things" is big enough to include just about any conception of life and death we can imagine.
There is a quiet, almost peaceful quality to the second part of the sentence, but at the same time something bitter and cold. Something that says, this could have been prevented. It didn't have to be this way for Paul. Any sense we have that Paul is at peace now, free from suffering, is minimized because Paul regrets his decision to jump at the last minute. Paul realizes "the vastness of what he had left undone" (2.65).
Not to say that this ending is much of a surprise, if you're paying attention. (But it's cool if you're not. We don't judge.) Right at the beginning of the story, Paul walks up to some train tracks and thinks, "The end had to come sometime" (1.18). Yeah, here he's just talking about his big night out in Pittsburgh but you have to admit that the anvil of foreshadowing is coming down here.
It's not a big surprise to Paul, either, who's had suicide on his mind since arriving in New York. Near the end, we find out that, during his big shopping spree, he "had even provided a way to snap the thread" (2.61).
Clear as mud, right? Well, a few more clues tell us that "it" is lying on his dressing-table and that the "shiny metal hurt his eyes" (2.61). Oh, the poor tender little flower. Yeah, it's a "revolver" (2.62), but you get the feeling that shooting himself would be a way mundane end for Paul.