So, it isn't actually supposed to be a threat, really, in the 'intimidating' or 'terror inducing' sense.

It is supposed to be something of a warning... its a courtesy, a formality from someone who is familiar with causing death.

It makes a bit more sense if it comes from a context where a warrior or assassin of some kind... is indeed genuinely urging you to actually perform some kind of final prayer, or absolution ritual, or otherwise mentally prepare yourself for your life to end.

Maybe think of the John Wick movies. One of his targets, he simply has cornered her in her bath, gives her the relative dignity of allowing her to slit her own wrists, talks her through her death... only shoots her once she's already lost consciousness.