Marlow had seen some pretty bad stuff on his voyage down the Congo. Kurtz was an enigma to Marlow, a paradox of the intriguing and the despicable. I think he wanted to leave Kurtz's widow with something better than his fever induced, "the horror! the horror!" Here a lie sufficed to bring something good out of something so dark. Marlow confirms the widow's illusions about her husband to make her feel good and keep at least her world a little brighter,
"'His last word -- to live with,' she murmured. 'Don't you understand I loved him -- I loved him -- I loved him!'
"I pulled myself together and spoke slowly.
"'The last word he pronounced was -- your name.'"