In the middle 70s, I found a reprint of a story in a SciFi magazine called, 
THE FRIEND OF THE ANGEL OF DEATH.  The reprint stated the story was originally
written in the late 20s or in the 30s.  I do not remember the author's name.
I read this story to my then 10 and 11 year old sons....they are now in their
30s, and are interested in reading it again.  I have been looking for years and
have spent hours on scifi author/title sites, and cannot find it.  Can you?

The closest I could find to this story is "The Angel of Death" which
was in the The Magazine of Fantasy and Science Fiction (F&SF) August,
1979. It was also a Nebula Award Best Novellette finalist (1979).
However there is nothing indicating this was a reprint.

"'The Angel of Death' is the story of what happens when an alien
student comes to earth to study sexuality, and of his meetings with
men, women, and something that may or may not be human..."

Hopefully another researcher will have better luck. 

Regards,
Rainbow~

this is a story about a man and woman who found true love just at the
moment of the end of the world...but because he was a friend of the
angel of death, the angel made a place for him and his love somewhere
on an asteriod and they lived a whole imaginary life there loving each
other and not knowing that the world had ended....their love was so
strong that the angel of death wanted to give them the gift of a life
together even tho life no longer existed.