Why did Walter Mity imagine himself facing a firing squad?

Because Walter Mitty is so weak and hen-picked in his real life, he develops a fantasy world in which he is active and many times a hero.  Putting himself in front of a firing squad would initially be contradictory to his usual daydreams; however in this particular day dream, he plays the part of a noble hero who is put innocently in front of a firing squad.  This may also reflect his feelings about how he feels in his relationship with his wife.  She nags him constantly, and he silently endures.  It is also significant that his daydream about the firing squad comes right at the end of the real day he is having with his wife.  As he is standing on the street, he imagines himself smoking a cigarette bravely facing the firing squad whereas in reality he is standing in the rain waiting for his wife to return from the drugstore.  He knows he is likely to get more nagging the minute she returns.