I'm not familiar with the song, but both of these terms mean roughly the same thing. "Undying" means something that does not or cannot die. "Death-defying" can refer to someone who takes an extreme risk, but expects to survive. They are "defying death" by doing something dangerous but not dying. (You can also use "death-defying" to refer to a dangerous stunt or performance: "At the circus, high-wire acrobats perform death-defying jumps.") So the phrase "undying, death-defying" is just a way of repeating the same idea twice: it's a description of something that cannot or will not die.