Oda said in a SBS that Luffy doesn't kill his enemies because their dream being shattered is as painful, right?
Well in Kaido's case he wants a grandiose death. He's jealous of people like Whitebeard and Oden because of the way died.
Kaido dying underground not even directly in combat, but from an environnemental kill with nobody to witness it... That would really deny him of his wish.