I've had Mjoll the Lioness as a follower for a while now and she is lovely, but there is one thing that keeps bugging!
Sometimes in battle she yells "The White takes you!"
What the hell us The White? I've tried looking it up on the interwebs but I've had no luck.
Does anyone know?

I guess The White could be some sort of name for the land of Skyrim or something, but it doesn't really make sense.

A guess, I'd say the white would refer to the white ground, or the harsh cold weather. The white taking you would be similar to saying "go to hell", or "get lost".

The meaning, your body will be lost and forgotten, you will become meaningless. No Sovngarde for you.

Because Nords are not purple....

I think you're right.