Board Thread:Lore Discussion/@comment-72.77.73.35-20140408131341/@comment-24075086-20140721180654

The Dragonborn's pact with nocturnal ended the moment he/she returned the key. The pact was to serve her until your contract is fulfilled...and when you return the key Nocturnal says: "What you fail to realize is your actions were expected and represent nothing more than the fulfillment of your agreement. Don't mistake my tone for displeasure, after all, you've obediently performed your duties to the letter. But we both know this has little to do with honor and oaths and loyalty. It's about the reward; the prize. Fear not. You'll have your trinkets, your desire for power, your hunger for wealth. I bid you to drink deeply from the Ebonmere, mortal. For this is where the Agent of Nocturnal is born. The Oath has been struck, the die has been cast and your fate awaits you in the Evergloam. Farewell, Nightingale. See to it the Key stays this time, won't you?"

Note how she says the "fulfillment of your agreement" meaning her only purpose for you was to return the key. She also says your fate awaits you in the evergloam, and her nightingales only go there when they finish their duties as a guardian and choose to become part of the luck. It doesn't even have to mean spending any part of the afterlife there either the fate in the evergloam can just as easily mean getting your nightingale power as a reward in exchange for unlocking the evergloam.