As with all things in beekeeping, there is more than one answer to this question. One possible explanation as to why your queen died is that your package was not properly handled while in transit. When this is the case, your queen and her attendants are often dead in their cage. You will also see a large number of dead worker bees in your package. Also, the bees that are alive may be lethargic.
If the bees arrive in this condition, take photos and contact your supplier right away to let them know. A reputable beekeeper should replace your package and/or queen. Install the living bees in your hive as planned and be sure to feed them sugar water. Later, you can combine these bees with the replacement package or simply add a new queen to them when she arrives.