In one case, astronauts -- rather, cosmonauts -- have died in space. The Soyuz 11 suffered a rupture with a breathing ventilation valve which exposed the crew to space, causing depressurization and asphyxiation. The spacecraft landed itself automatically and the bodies of Georgy Dobrvolsky, Vladislav Volkov, and Viktor Patsayev were found inside. There was a state funeral at Red Square and they had their ashes buried in the Kremlin wall.

However, I am assuming you mean "without being able to recover the bodies". That has been planned for once, with Apollo 11; here's an earlier answer I've given with some edits and an addition at the end:

In Event of Moon Disaster arose via the suggestion of Bill Anders (an astronaut on Apollo 8) who let the White House know they should be prepared in case of lunar disaster. Frank Borman, the NASA liason at the White House, informed the speechwriter Bill Safire that "you might consider an 'alternate posture'" for Nixon. Safire didn't understand until Borman added: "like what to do for the widows."

To be clear, this was a speech intended not for all three crew members, but for Neil Armstrong and Edwin Aldrin; the lunar landing and recovery being dangerous enough that it was consider quite possible both astronauts would be lost; Michael Collins, who did not go on the lunar craft, was expected to make it home and was not included in the speech.

Also note: in a scenario where they were still alive and able to communicate, it would be the astronauts themselves on the moon confirming things were hopeless. Mission Control didn't have a perfect view of what was possible from the perspective of the astronauts.

For example, Apollo 11 really did come close to disaster -- when Armstrong returned from his moonwalk, his backpack broke a circuit breaker switch. Aldrin managed a fix with a felt-tipped pen; this is the sort of micro-level crisis that could only be reckoned with from inside the lunar module.

I believe some reporting on Safire's speech (like the BBC) made it seem like mission control would just mysteriously cut them off, but there's no evidence that would be the case.

Moving on to the procedure:

The widows-to-be were meant to be informed first, and then Nixon's speech was to be given before NASA ended communication with the men. Here is the first part.

Fate has ordained that the men who went to the moon to explore in peace will stay on the moon to rest in peace.

These brave men, Neil Armstrong and Edwin Aldrin, know that there is no hope for their recovery. But they also know that there is hope for mankind in their sacrifice.

Here is the end:

For every human being who looks up at the moon in the nights to come will know that there is some corner of another world that is forever mankind.

After the speech, communication was then to be broken; after, and only after, was the last part meant to happen -- a burial at sea by a clergyman, commending the souls of the astronauts to the "deepest of the deep."

...

There's been a lot of focus on "dead in space" but of course many lost their lives in the pursuit of space while still on Earth. I can think of one equivalent to a space memorial.

At the Apollo 15 mission, secretly and not with endorsement of NASA, David Scott and James Irwin put a tin figure on the moon called The Fallen Astronaut, with a plaque.

Basset, Charles A. II

Belyayev, Pavel I.

Chaffee, Roger B.

Dobrovolsky, Gerogi T.

Freeman, Theodore C.

Gagarin, Yuri A.

Givens, Edward G., Jr.

Grissom, Virgil I.

Komarov, Vladamir M.

Patsayev, Viktor I.

See, Elliot M Jr.

Volkov, Vladislav N.

White, Edward H. II

Williams, Clifton C. Jr.

You can see a reproduction of this plaque at the National Air and Space Museum website.

...

Safire gave a 1999 interview on Meet the Press about the speech.

Other sources:

Launius, Roger. Reaching for the Moon: A Short History of the Space Race. Yale University Press, 2019.

Logsdon, John M. "Richard Nixon and Apollo 11." After Apollo?. Palgrave Macmillan, New York, 2015.

For more about astronauts who died, both American and Soviet, see: Burgess, C., Doolan, K., & Vis, B. (2016). Fallen astronauts: Heroes who died reaching for the moon. U of Nebraska Press.