There's a seemingly elaborate fan theory analysing the shoe patterns, shoe styles and footsteps made in the sand. This fan theory seems to think that Avilio was not shot. You can read the full post and check the screenshots on the Reddit discussion here.
In Episode 4, while they're (Nero and Avilio) on the run from the assassin tracking them, they're in a store and Avilio is doing the shopping. Avilio picks up cans of pineapples in a hurry. Nero later comments and jokes about his choice.
Both of which are highly unlikely. Even if Angelo was shot and fell to the left into the surf, it wasn't high enough to pull his body out to sea. Nero didn't drag it out because his stride never changed in the sand. Angelo stops and sidesteps to his left. The waves are already coming up to the pair of prints closest to the ocean, so anything to the left of those would've been washed away.
The only plausible explanation is that Angelo is alive and soaking his feet in the water after an extremely long drive. He and Nero parted ways, as Nero continued walking and drove away. Meanwhile, Angelo continued walking in the surf and exited at another point, where his footprints continued.
Also, while coming back in the car, the type of happy expression Nero made was of recent meeting with a new friend or of a recent new relationship (just friends in this case).Those who know facial expression reading can easily judge it.
Moreover, the new Don asked Avilio to kill Nero as a favor. So it might be a play between them. As we can see, our new Don's man crossed Nero and stopped. Maybe he would notice Avilio's wound as his failure.
It shows at the end he didn't die, it just doesn't show you. There are 2 prints of sets slowly getting washed away where they walked together. Then a single set walking on that gets washed away, where he continues to walk the beach, (also Angelo) never seeing the sea before, hinting at the fact he is still alive.
Throughout the dub, there were drops of hidden stuff that never get addressed and are on the viewer specifically to pick it up. One was when they are at the docks and Angelo says 'You know I had a kid brother like you once (
Nero already knows he's dead anyway after driving so far and still having the mafia find them. So, regardless of what he wanted to do, he had to part ways. Angelo was also talking at the fire about after achieving his goal, he still didn't have a reason to live hence why he said 'You know, you don't need a reason to live, you just live.'Why would he be saying what to do if he intended to kill him?