In the hands of militants... gunshot wound under the chin... sounds more to me like surrendered/got captured and then got murdered than it does that he killed himself. Seems more like Pesh myth-making to me.
Some people dont have solid plans for final solutions if everything literally goes wrong in the face of an uncontrolled but horrific death. Chin shot is one of them, but still a somewhat quick way out if you do it right. I would have had a demolitions option, personally. Take some with me in an instant.