I tried to get up on the stage to speak to the Imperials but that turned everyone hostile. No convo options amongst the townspeople gathered to witness the execution. My guess is that he's scripted to die?

I herd that even if you kill all the guards, he starts walking away and just drops dead

True; on the PC you can insta kill any guard around via console and Roggvir will still drop dead after a while. There's a video on youtube of a guy who succesfully interrupted the execution via 'legit' means and the result is always the same.

nope he is scripted to die, cant even resurrect him via console after he drops dead of his "heart attack" from being saved. There are a few others in the game you will come across like that, that you just cant save. Kind of svcks, Roggvir I understand but the other(s) I have come across make no sense.