We know from the few scenes we’ve had of Kaido prior to Wano that he has tried killing himself many times.
His attempt that was shown to us was jumping off a Sky Island, something that is not known to exist throughout the world, though probably well known in the New World. Quite a theatrical suicide attempt.
Furthermore, we were shown that Kaido wanted to start the World’s biggest war. Again a theatrical display, a way to gather the World’s strongest factions. Potentially facing some of the world’s strongest individuals, perhaps dying at their hands while taking a few down, and certainly throwing the world into chaos. This would certainly make Kaido remembered.
We know all of this as he wanted to make it to Marineford pre timeskip and participate there to up the stakes, fight Whitebeard, and again potentially die.
He continues today to want something of this nature. As a note, Kaido did not want Big Mom in Wano. This seems at first antithetical to his desire to fight strong opponents, but I will remind you that while a Yonko vs Yonko fight is epic, it is not unprecedented. This is not orchestrated in a fantastic way for Kaido to be remembered optimally. So, with the recent Oden’s flashback, we see that Kaido is a pirate through and through. A likeable (maybe) one at that. While he himself does not scheme underhandedly so as to directly undermine people in a fight, he will take advantage of whatever situation.
He values strength and displaying that strength though. This led to the incident with the old hag. With Oden caught, and an opportunity to test himself/overcome/haki bloom gone, he was left comparing himself to the man in a boiling pot before him. A man Who died in a way Kaido considered fantastic, epic, memorable.
Flashback to the man who trained, influenced, and otherwise mentored Kaido, Rocks. A man who had great ambition, was strong, and led (imperfectly, but still a feat) the strongest pirates of that era and the next. A man who valued strength, as that was the main consistent attribute among his crew. A value Kaido has inherited.
Despite all of that power, ambition, and charisma, no one knows who Rocks is today. He died in an epic fashion most likely, on the battlefield. But he did so in a way that did not ensure his fame.
I believe this has stuck with Kaido. In particular, we see that the events of a Yonko’s young life are what set their values and goals. Being a poor orphan for Whitebeard, wanting everyone to get along as one big family for Big Mom, and I believe the same to be true for Kaido. His formative years with Rocks and his fall define him to this day. The final note is that Kaido specifically mentions Roger and Whitebeard as being soft hearted, which he sees as a negative against “strength”.
Yet Roger has died epically at this point, in direct contrast with Rocks. Whitebeard, by present timeline has done the same. I believe these three men, Roger, Whitebeard, and in particular Oden, are the source for Kaido’s alcoholism.
These men who in some aspects go against Kaido’s definition of strength somehow achieved the glorious life and death that keeps them immortal, while the memory of Rocks withers, and immortal (in life) Kaido has yet to achieve the same. In summary, Kaido is not suicidal, but wants to be immortal in death by going out with the biggest bang.