They’re effectively synonyms, though maybe there are some differences in common usage that can make one more apt or awkward in certain cases than another.
Fatal – mostly used in the sense of “caused fatalities”. A fatal car crash is one in which people actually died. Fatal can also be used euphemistically to describe something that is doomed, or critical. A “fatal flaw” or “fatal error”, is an unrecoverable one.
Lethal – having the potential to cause death, whether it actually has or not. A “lethal weapon” or “lethal injection” is dangerous enough to kill. It can also be used to represent different degrees than fatal. For example, you might say “the newly discovered variant of the virus is more lethal than the original”. In that example, you could interpret the nuance of using lethal vs fatal as suggesting the new virus is more capable of killing, rather than saying it has actually killed fewer people.
It can also be used euphemistically to describe something potent but not necessarily violent – “a lethal stare”, with a similar meaning to “a look that could kill”.
Deadly is, perhaps, somewhere in between and the most flexible. “Deadly poison” is one that has the potential to cause death (like lethal). Whereas a “deadly car crash” is one where people actually died. “Deadly force” could mean either, depending on context.
To my ears, deadly is also the most casual of the three synonyms, and often more literary. “The killer struck a deadly blow”. It is also because it is often is used to mean “very” or “somberly” or “severe”. “I’m deadly serious”. “Seven deadly sins”.
If it was a “deadly day for the navy”, you would interpret that to mean there had been some deaths, but not that the navy itself was destroyed.
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