I was wondering if this beautiful situation has ever happened in a real-life game, especially in a competition.
Has anyone ever escaped check with checkmate? That is: has anyone ever, after being checked, decided to checkmate instead of running with the king? If yes, who, when, in what tournament, in what position?
If you are thinking this is impossible, you are wrong! I created this beautiful example (that relies on a blunder by Black, but is still the most beautiful move sequence I've ever seen):
[FEN "3rkr2/4q3/7Q/8/8/1B5K/8/8 w - - 0 1"] 1. Ba4+ Qd7+?? 2. Qe6#
I had never seen check-check-checkmate like this before.
Of course, in this example, black is winning, and has better options than Qd7+, but I am sure a more complicated position can be arranged in which black is in a lost position anyway.