I don't mean In-game.
I would imagine that they just cease to exist. They were, after all, cultists after all who worshiped and followed the dragons, committing all sorts of atrocities along the way.
Alduin's belly. Where they will be resurrected as Kings, in the next kalpa.
Since they're Dragon Priests they may go to Dovngarde.
They are sent to the Everfilling Chamberpot of the Ageless.
Depends how they die, their race, etc.
If you soul trap one, Soul Cairn. If they are a Nord and died honorable, Sovngarde... And goes on from there.
they are already undead so how can they go to sovngard ? they simply cease to exist like others have said