The only thing I could think of is he would be back at his home town location, or standing waiting at what ever entrance that took you to what ever DLC. As far as I know when a companion is dismissed they teleport to there rehire location.
Its been a while since I last took a companion and let them, so maybe they do just disappear to their spawn location/normal hire location. But tghere is a known glitch were NPCs would end up in blank mountain for no reason and just try walking back to their normal location, some die on the way.
I had that happen with Loyal and a one or two more.