The Wall of Flesh keeps rising into the sky before it disappears completely! It doesn't despawn when I die and I can't kill it since I can't reach its face
Now, I'm not sure if this works, but I think it does: Destroy your bridge across the underworld, or at least part of it. I've seen a similar question to this before(possible duplicate) and it seems like destroying your bridge would help.
Also, if you manage to fix this problem, fighting the wall should be much easier, as it becomes "enraged" if it leaves the underworld.