Don't know if he's the most recent, but a good guess would be Yohannes IV, Emperor of Ethiopia (sometimes referred to as "King John"), who died fighting the invading armies of Mahdi Muhammad Ahmad of Sudan in 1889. His unit somehow wound up pushing a little too far ahead into enemy lines, and Yohannes IV was mortally wounded during a fusillade.

Before that, the next most recent one who comes to mind is Charles XII, King of Sweden who was killed during the siege of Fredriksten in 1718. While he was inspecting the front, something struck him in the side of the head, but it's not clear if he was shot or hit by shrapnel.