Muwatta Malik, Book 21, Hadith 34 (USC-MSA)

Yahya related to me from Malik from Zayd ibn Aslam that Umar ibn al-Khattab used to say, "O Allah! I ask you for martyrdom in Your way and death in the city of Your Messenger!"

حَدَّثَنِي يَحْيَى، عَنْ مَالِكٍ، عَنْ زَيْدِ بْنِ أَسْلَمَ، أَنَّ عُمَرَ بْنَ الْخَطَّابِ، كَانَ يَقُولُ اللَّهُمَّ إِنِّي أَسْأَلُكَ شَهَادَةً فِي سَبِيلِكَ وَوَفَاةً بِبَلَدِ رَسُولِكَ ‏.‏

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also referenced under: Book 21, Hadith 995 (In-Book)