What are some ways I can project to my players "Hey.. There's a hole here.. And I WILL throw you down it if you let me!" without having to throw them down the hole? I guess what I'm getting at is, how can I make my players know I'm serious, so that if they do end up dying, it feels reasonable?
If straight-up telling them this, directly and honestly, does not do the trick, there's really only one other option, and it doesn't have a much better success rate than kicking a PC into the hole.
And that is, kicking an NPC into the hole. It's up to you whether a random mook would count, or whether it needs to be someone the PCs really care about, but either way, you have to actually show someone genuinely biting the dust if you want people to believe that you'll actually have someone bite the dust.
If people genuinely won't believe you're serious when you tell them point blank, then the only other way to make it work is to
show it. And, as stated, that is necessarily a risky thing that may backfire just as much as if you'd actually killed an NPC.
This will never not be a problem if you cannot simply level with your players and have them believe you. That's one of the reasons why I never, ever
lie to my players. I have been cagey, I have given them only what details they could actually see and been vague about the true nature of things. But I never actually tell them any lies--and they know this. They know that if I say something, it's because I mean it. As a result, all I have to do is tell them that something is lethally dangerous and they
immediately respond appropriately, because they know I
wouldn't say that unless it was actually a danger to them.
This, among other reasons, is why I so thoroughly favor the no-fudging, no-rewriting, no-railroad, etc. approach to running games. The benefits are irreplaceable, and there's very, very little you can do with deception that you cannot also do without it.