I think the key issue with this claim is the part about "holding your breath".
A Pennsylvania family is warning parents about a dangerous TikTok challenge after their 10-year-old daughter died attempting to hold her breath until she passed out
(emphasis added). While the Daily Mail and New York Post do refer to "breath-holding", and I don't have any proof to the contrary, I strongly suspect that the deaths are not from unassisted breath-holding (except perhaps from accidents/trauma following on from passing out after breath-holding). It's hard to know exactly what happened; another article says that she was found unconscious and that the family said she "might’ve accidentally injured herself while playing the game" (the direct quote is from the article, not the family).
If you go back through the CDC reports and other articles you'll see that it's not called the "breath-holding game", but usually something like the "choking game"
The challenge has been identified as the "Choking Game," the "Passout Challenge," the "Game of Choking," the "Fainting Game," the "Space Monkey" and more.
Although I haven't dug around to get all the gory details (I don't want to and I suspect they're often suppressed to discourage imitation), I would guess that all of these deaths are caused either by someone else choking the victim, or by the victim choking themselves with some object — not by breath-holding alone.
I would be very surprised if an otherwise healthy person hurt themselves seriously from holding their breath until they passed out (except by falling/drowning/etc.); as far as I know it's basically impossible (see links below), although a 1554 precursor of Romeo and Juliet had Juliet commit suicide by holding her breath (!)
This article from WebMD says "[t]he risks of passing out include hitting your head or injuring yourself while falling" (or drowning, if you're in the water when holding your breath). It does say that breath-holding can cause irregular heartbeat, kidney and liver damage, a seizure, or brain injury (@Feryll points out in a comment that even these deleterious effects are poorly linked to voluntary breath-holding in the source material; they are attested as more general problems associated with hypoxia, e.g. from severe asthmatic attacks).
This blog post talks about the physiological mechanisms that kick in to force you to start breathing again.