While I could see it both ways (I wouldn't be shocked or anything if he's gone for good, as you said, Brienne looked certain to kill there), them doing his death like that would be a first for a major character, and that's why I'm skeptical.
We see Ned get his head chopped off, Robert on his death bed, Renly killed by a vagina-demon, the red wedding, the purple wedding, Shae, Tywin, Jeor Mormont, hell..JON SNOW...but Stannis gets a cut-away? Why?
You're right, the Ramsay scene directly after could be a continuation, but it could also just be editing trickery misdirection.
I hate to be an over-thinking dork about it so my bad. But I genuinely ended the episode thinking "so um....what happened to Stannis?"