There is a lategame Conjuration spell called Dead Thrall which means if you cast it the body doesn't vanish in dust, but if you cast it and then your thrall dies and you leave it for awhile the body will eventually be deleted by the game, I'm sure of it, but I DO believe there are spots where corpses don't vanish and I think some people store their thralls there.
I am not certain of the locations myself though, but I have heard its player housing etc, but not 100% sure.