You shouldn't. Declared here is a past simple verb that limits previous action in past perfect he had died. So in this sentence you have two tenses: past perfect Had he died and past simple Nietzsche said/declared. And grammatically it means that God died before Nietzsche said that.
Adding second had you'd have to add something in past simple to limit past perfect. Because past perfect is used to talk about something that happened before another action in the past. And that's the case we have here.
And besides, having two past perfects will change the meaning of the sentence. It'll mean that actions Had he died and Nietzsche had said/declared had occurred before another action in the past but without clear indication which action happened earlier: Had he died or Nietzsche had said/declared
So adding another had will be grammatically incorrect here.