Alright, I finished the game before I got an answer, so I gave it a try and let all marines die. You get a "game over" screen and then the game reboots from the copyright screen. From there, you can jump back in at your last save point.
So if you lose marine you didn't want to lose, you can intentionally let the others die and allow the game to reboot for you, or you can save yourself the time and just reboot it yourself.