According to the web there is a Climax, MN and there is a Fertile, MN, and Googling, "Fertile Woman Dies in Climax" returns a bunch of references to the infamous headline but no actual scan of the headline or even what paper it was in. I think it's an urban myth.
http://fertilebeltrami.k12.mn.us/
http://www.climax.k12.mn.us/Communities/climax.html
The following is from
A Prairie Home Companion
"It wouldn't surprise me, though, if now that I've stirred this pot someone did write and say they had gotten into huge trouble for some careless but innocent act of writing. And a famous example from Minnesota comes immediately to mind. It was published in a weekly paper in the northwest quadrant of the state, and I can't say what kind of repercussions it may have brought to the author but there must have been some. The town of Fertile, population 853, sits about 19 miles southeast of Crookston on state highway 32; Climax, with 273 listed residents, sits to the west of there on US 75, some thirty miles away. An elderly lady from the former small town expired in the latter, leading to an obituary caption in the paper that read, in bold letters: "Fertile Woman Dies in Climax." Probably the longest-lived journalistic gaffe in the entire state, and one that must have brought at least mortification to its author. You'd hope so anyway."
This is from some web-site I found
From: Glenna Jo Christen (gjkatAThotmail.com)
Subject: Headlines
The message about the headline in an East Anglia newspaper that read: "Little Snoring Man Marries Seething Woman" reminded me of one from a small town newspaper in northern Minnesota. It read "Fertile Woman Dies in Climax" referring of course to two nearby towns with those names. I can't help but think how her neighbors in Embarrass must have felt though.
And finally a web-site that talks about a number of towns with funny names
http://www.poynter.org/forum/default.asp?id=18085