Board Thread:Spoilers!/@comment-25733960-20151226155541/@comment-25375217-20151226190943

Since the Underworld is supposed to be an "unfinished business" place, I'd bet that if you die in the Underworld you're sent to heaven/hell, the actual afterlife where you go once you've finished your business. (Which is presumably where Graham, Neal, and various others we won't meet are.)

All three are places you go after you die, so I don't see why we should make there be a difference.