There aren't that many bad ends in the game but this post provide some hints on all of the current existing ones.
As for the desert, the main heat resistance comes from the clothes your main character is wearing. Putting fitting clothes on make a huge difference. Also the dog form can help to show a fast way throught the desert if you have unlocked it.
As a hint for the desert objective: You need to find a key and open a locked door in the desert, after you done that, there will be no heat dmg anymore.