I think we also need to have the mindset of these saints as they went to their martyrdom. One of my personal favorite and most inspirational martyrdom story was the Carmelite nuns of Compiègne during the French Revolution.
Prior to their martyrdom they had prayed as a community to offer themselves as a sacrifice to end the French Revolution. The following year their prayers were answered and their convent was seized and they were arrested. During their trial the Mother Superior successfully demanded that added to the list of charges was, “being attached your religion and King”. The Mother Superior turned to the sisters and told them, “We must rejoice and give thanks to God for we die for our religion, our faith, and for being members of the Holy Roman Catholic Church.”
Long story short, when the time came for their execution witnesses recounted that the nuns “went to the guillotine as brides going to their wedding”. They were heard singing hymns in the wagon as they rode to the location and as each nun went to the guillotine they were singing the psalm “Laudate Dominum omnes gentes” and as the guillotine fell, the singing got one voice quieter.
The professed sisters all renewed their vows while the one novice made her final profession to the Mother Superior in danger of death. The Mother Superior was granted permission to be executed last, and each sister, just prior to ascending the scaffolding, knelt before her asking, “Permission to die, Mother?” to which they received her permission, “Go my daughter!” Before their heads reached the basket they were in the arms of their Beloved Bridegroom.
We see this same mentality with the virgin saints. St. Agnes, who was so young the handcuffs didn’t fit her wrists went to her excution fearless knowing she would soon be with her Beloved Spouse. She actually caused fear in her executioner.
And then there’s St. Lawrence who was roasted alive and jokingly told his executioners to turn him over because he was done on that side.
I believe some saints prayed to be delivered from being tortured and that should God will it, to take them to be with Him. St. Agatha did, I know, and possibly St. Cecilia.
If God wills that we be martyrs, I think we should give thanks and praise, rather than pray to be delivered from it. By all means we should pray for the grace to have sufficient fortitude when the time comes.