Phrasing the question in the present perfect means that the indirect question should be in the present or past: “Have you thought that I am dead?” or “Have you thought that I died?” You can eke by a grammar teacher by claiming “was dead” is just a synonym of the second but, here, it can imply that death is temporary... which it usually isn’t.
More importantly, the present perfect doesn’t work here anyway, since it implies that her possible belief in his death continues to the present moment, while he’s standing in front of her asking questions. That, again, isn’t usually going to be the case. You’re better off asking something much more straight-forward:
Jack smiled, "Ella, you look like you’re seeing a ghost. Did you think I had died?"
Her possible thought is already disproved by his presence (=past action) and his imagined death would have been thought to have occurred even earlier (=past perfect). Jmr Pink isn’t wrong though: there are several other fine ways to say this, including just using the past tense for both parts of the question.