I don't think so. I assumed that they had to remain undead as punishment for worshiping dragons?
I meant when they die permanentely, when some one kills them in their undead form.
Maybe their soul goes to the void, because no Aedra will take them for their sins, and they didn't worship daedra so the princes can't have them.
Maybe, but i thought like, they were nords, they followed their religion, and i doubt they knew much about Aedra, so i thought they'd still go to Sovngarde.