Could those who die as a result of a dark brotherhood assassination have an afterlife in the Void, where they serve Sithis for eternity? After all, that would explain how, in Oblivion, you can summon Rufio's ghost, even though Rufio had no connections to the DB other than being one of their victims (spirit of Lucien Lachance in Skyrim, I can understand). Furthermore, Dark Brotherhood brethren often encourage the player to "send" your target "to the Void." Could that be the equivalent of Hadvar saying "I hope that dragon takes you all to Sovngarde!" Hmmmmmm.
And what about the Orcs? Sovngarde is only for Nords, so where do Orcs go? You see a lot of Orcs in Skyrim worship Malacath, leading one to think that Orcs to go Malacath's realm much the same way as werewolves go to Hircine's realm. The problem with that is that Malacath's realm - Ashpit - is supposed to only be dust and smoke, and mortals who have visited the plane have not written about any dead orcs.
Really sets your imaginative juices flowing.