Not Murat, but Ney. The legend is that all the men missed, he was spirited away by the Duke of Wellington (who had tried to save him from the execution all together) and went to live in North Carolina.
http://en.wikipedia.org/wiki/Michel_Ney
Marat was killed in Italy after an abortive attempt to retake Naples.
http://en.wikipedia.org/wiki/Joachim_Murat
Whoops...Your quote WAS from Murat, but, he wasn’t executed by the Bourbons, it was the Neapolitan King that had him killed.
Ney has a similar line, but, nothing about his face.
I beg pardon.
As far as I can see from your link to wikipedia, what I said is consistent with it — Murat’s last words, and he was killed by the Bourbons (a branch that ruled Naples).