Just before the war boys (half-life humans) sacrifice themselves, they would spray chrome paint (huffing paint to give them rush) on their face and shout "Witness Me", as they believe that it will take them to Valhalla (heaven in their time).
Because he was sacrificing himself in the last scene, Nux shouts the same.
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I agree that he says "Witness Me" just before he ends his life.
What I differ on in this instance is he is not saying it to Odin to get into Valhalla ...
he is saying Witness Me to Capable, whom he has come to love.
In this answer @FrankVoors talks about
Nux having the biggest arc as far as characters go in the movie.
Capable is the catalyst for that arc.
It is for this Nux isn't sacrificing himself to get into Valhalla, he is sacrificing himself for Capable's sake.
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"Witness me," as what Nux said.
A common thing in all warboys is wanting to go to valhalla.
With those words stated, they are hoping to be noticed by the gods of the other world in order to ascend, with all their actions done, along with lives sacrificed is for Valhalla.
In Nux's case, (my opinion by the way)
he directed it towards the women he grew close to, assuming he fell in love with also.
With those last words being in my interpretation, "Witness me, for i am sacrificing myself for you, and no other else," as he reached out his hand towards his beautiful lady.
Stating in his last words that he does not wish to be mistaken for doing it in order to get into Valhalla, but the fact that he valued her more than any other heaven.
My 2 cents.
movies.stackexchange.com/users/21661/Marc
Nux says very softly, "witness me," which is what a War Boy shouts when about to die heroically in battle.
(The comrades shout "Witness!"
while making the sign of V8, to send each other shiny and chrome to Valhalla.)Nux was asking Capable to witness his deed.
She has become, in effect, his Valkyrie, who will bear him to the afterlife, valiantly slain for a noble cause.
(In fact, with her braids, she resembles a Valkyrie of Norse
mythology.)She makes the identical gesture made by the Vuvalini, to catch his spirit and draw it to her heart; and then he wrecks the disabled war rig to block the pass.
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He says "Witness me."
its a mythology thing.
The warboys are trained that if they are witnessed by their brothers doing awesome things, they'll ride forever in the halls of valhalla.
The kicker with this one is that he's not shouting it, he's whispering it, and he's doing so at Capable.
which is huge.
because it means he's dedicating his sacrifice to her.
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In  Mad Max: Fury Road , right before the scene when Nux    deliberately turns over the truck and dies   what does he say? It was a short line and I think it had the word "men" or something.
What does Nux say?
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<dialogue><mad-max-fury-road>
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He say's '' Witness me.'' The warboys are trained to believe that if they are witnessed doing awesome things, they'll ride forever in the Halls of Valhalla.  He says "Witness me."  
He says "Witness me."  The warboys are trained that if they are witnessed by their brothers doing awesome things, they'll ride forever in the halls of valhalla.