From the last part of the fourth season Alex Romero began losing himself; he lost his command presence, and once Norma died he seemed to lose the last of his allegiance to the rule of law. (That allegiance had long been compromised, even before his downslide after Norma died, in part because of the politically connected drug dealers and the long-standing arrangement between them and the local government, and partly because Romero was the sort of man who wasn't above solving sticky problems in an extra-judicial manner, in special circumstances). Romero seemed to lose his normal ability to articulate precisely what was going on after Norma died. He wasn't able to present facts supporting the truth in a confident and convincing fashion. Of course, when he got caught perjuring himself he severely damaged his chances of getting anyone to take him seriously, and that drove him a little nuts. In short, he began to fall apart. When Norman succeeded in hiding the truth about his mother's death, that seemed to push Romero over the edge.

He was determined to kill Norman for killing Norma, not trusting the justice system after having seen it fail so badly, so often. When he learned from Chick Hogan that Norman had dug up his mother and moved her body, he put the execution on hold. He first wanted to force Norman to take him to her body so she could be properly interred once again. Thus he wound up alone with Norman far out in the woods where he had buried his mother to prevent the police from finding her body in the house, where he had been keeping her.

I could see Romero's end coming in the minutes before he died. I knew he would become lost in his grief, totally focused on Norma's corpse once he saw her. Uncharacteristically, he lost track of Norman and what he was doing. (Actually "Norman" wasn't mentally present at that time; the fake Norma was in charge, and she had always been exceptionally devious and decisive, and accomplished at surprise violence. )

I just had a feeling that Alex would lose focus once he saw Norma's corpse and that Norman/Norma would grab the advantage and kill him then. I could see it developing as 'Norman' distracted him saying "it will go quicker if you help". Romero made his first fatal error by taking that suggestion, practically pushing Norman aside as Norma's corpse was exposed, not wanting him to be near her. And he made the second major error which gave Norman/Norma all the chance he/she needed; he allowed him/her to stand behind him, out of even his peripheral line of sight. Sensing how deeply Romero was absorbed in his grief and how oblivious he was to him/her, Norman/Norma attacked viciously from behind, got his gun, and put several rounds in his chest.

I hated seeing Romero lose his grip after Norma died. And I hated watching him make those final, fatal errors. But given how broken he was after Norma died, and how far from grace he had fallen, it was perhaps merciful to him that he died there, beside the woman he loved.