Sure thing. But it'll take a bit of work.
You need to have a black sprite set over the screen, with an opacity of 0 so you can see through it while playing. Preferably on a layer ath the very top, where there Parallax on the left side is set to 0,0 -- that means it won't scroll, so it'll always be over the screen. When your health hits 0 and you want the black screen to appear, use the opposite of the Fade event you used to make the explosion fade. Instead of disappearing(going from 100 opacity to 0), like the explosion, you want the black screen to reappear(going from 0 opacity to 100).
Once it's there, you can either use a sprite that says "Game Over" or have a text object display the words. From there, you can use the events I suggested before to press a button and restart the level.
Hopefully I explained that well enough.