I'm afraid it is - there's no way the LED would light as it's shorted out. Presumably you're wanting the LED to light when the switch opens?, to do this you need an inverter, you can't do it with a diode - easiest way is a simple transistor.
Assuming you're not bothered about current consumption?, there is a nasty crude way - place the switch across the LED, and the LED in series with a resistor from a supply. But this way it takes MORE current when the LED isn't lit.