After confirming to the neighborhood kids (the original "Bowery Boys") that Rocky died a yellow coward, O'Brien ends the movie by asking the kids to accompany him to church "To say a prayer for a boy who couldn't run as fast as me."
BTW, we assume Rocky was acting at the end but we never know for sure.
That is true.
***
In one of the most tautly directed, unforgettable, harrowing sequences of any film in the 1930s, Rocky is taken away for his last walk. The scene is bathed in dark suggestive, oppressive shadows, and the musical score (by Max Steiner) resembles a plodding, relentless death march as he walks to his death. Rocky asks that Jerry accompany him "going down the last mile." Still cocky and glaring with hatred, he snarls at and punches the sarcastic prison guard - it appears that Rocky will be stoic to the end. Other prisoners on death row stare at the doomed man, bidding him goodbye through their jail cells. He shakes Jerry's hand goodbye.
In the final moments before his execution as he enters the death chamber, he breaks down. [It is unclear whether or not his true nature or motives are revealed - is he pretending or not?]. Rocky is transformed into a screaming, snivelling, cowering coward begging not to be killed. Awful, heart-rending screams of pathetic cowardice are heard.