As of the latest chapters I've read, Megumi is still alive in the manga. Usually, such major character deaths are significant plot points and would be well-publicized if they occurred.
In a Giyuu x Shinobu fanfic, the setting and plot can vary widely. Some might be set during the main events of the Demon Slayer universe, with them facing demons together. Others could be more of an alternate universe story, where they meet under different circumstances, like in a modern - day high school AU. The fanfic could also delve into their backstories and how those experiences shape their relationship. For instance, Shinobu's past with her sister could play a role in how she opens up to Giyuu, and vice versa for Giyuu's own traumas.
I would recommend 'Whispers of the Heart' for Giyuu x Shinobu fans. This fanfic focuses on their unspoken understanding. It's full of small moments that build up their relationship, like when Shinobu leaves a small flower on Giyuu's doorstep as a sign of her care. Also, 'Shadows and Sunlight' is worth checking out. It has a great plot that involves them having to go on a secret mission together and how that journey changes their relationship from colleagues to something more intimate.
Typically, megumi fanfic often focuses on his personality traits. His stoicism and determination are often highlighted. For example, in many fanfics, his unwavering resolve in the face of danger is a central theme.