I don't think you go to Apocrypha after you die. Unless you specifically die there (or rather, consumed and lost there), like Seekers (like, for example, Morian Zenas). You don't sell your (dragon) soul, you're just a champion, enjoy a good relationship with HM. You win, Mora loses nothing, the great villain loses.
TES' endings were always optimistic, it's not likely they would pull a Mass Effect 3 ending; you are HM's champion, but your status is much more privileged. You're not trapped in Apocrypha like he was, and you probably won't be, since HM's influence outside of Apocrypha is very limited. And if you won't go any further, like Skaal girl warns you not to, you're basically good.
Dragonborn is most likely destined for Sovngarde, unless he died a Werewolf/Nightingale/Black Soul Gem.