If you lose to the Dragon boss, then you are out of the game! You can't retreat from a boss fight and if you lose you LOSE the whole game.
Rules Reference Guide [p.14] wrote:
* When a hero is defeated in combat with a villain, the hero is
eliminated from the game. Remove all damage from the villain
and flip the scenario card back to the front side. The game
continues until another hero defeats the final villain or all heroes
lose the game.
* A hero cannot retreat from combat with the villain.