If your character does the Thieves' Guild quests and becomes a Nightingale it is said that even in death you will protect Nocturnal... so does that mean my Nord go to Nocturnal's Realm and not in Sovrngard in the afterlife?
I don't think so, I'm pretty sure that what she says is just mood/ambience as is most of the stuff the NPC's say in-game.
What's wrong with spending eternity with an evil wicked smart-ass bi_ _ _, anyway?