Board Thread:Lore Discussion/@comment-11215761-20130729041940/@comment-13446185-20130819153309

I think they live in the Heart of Lorkhan. As it hints torwards this when Arniel Gane disapears after striking a soul gem with Keening, and the quest The Black Star proves that soul gems do have some type of realm inside them. I imagine that the Heart of Lorrkhan holds a realm similar to Sovngarde.