Thanatophobia mode has been added by the new DLC.
To start it you have to slect a new EMPTY save slot and then select Play Special modes and then Thanatophobia mode.
This mode has you starting from scratch with all permanent abilities unlocked, meaning you can finish the game using the first character you use.
In this mode you get a game over after dying 15 times, so you have to beat the final boss within these lives.
This might saound daunting, but if you use House Rules, and toggle down all damage and other accessibility options this will be much much easier, i got it with my second character because I got lucky and rolled a vampirism character.