User blog comment:Jack Pistol/Immortal Dovahkiin?/@comment-30303790-20121002201052

Well we don't know what happens to a dragon's soul in the interum between death and resurrection, nor do we know what happens to the Dragonborn's soul after physical death.

We know that the dragon's soul goes somewhere, but where ? Now it is important to note that I do not mean when a soul is absorbed by the Dovahkiin, as it is explained that this is the only true way to kill a dragon, and should the Blades, town guards, or any other party slay one of the mighty beasts, only the physical body dies.

We do know that a dragon's soul can be trapped, as is the case with Durnehviir, and using the same character we learn that one can be summoned. This shows that while physically impressive, a dragon is not all powerful and can be manipulated. This also illustrates that a dragon's soul can be given/pledged/lost to a plain of oblivion, as the Soul Cairn is described as such. This explains the ability for the Dragonborn to do the same, and there is perhaps no better example of this than Nocturnal's eager acceptance in the Nightingale contract.

It also seems that the soul cannot reanimate the body on its own, and to be brought back requires an outside force, otherwise any dragon who fell in combat could simply have revive itself an unlimited number of times in a single battle.

This means that dragons likely have something comparable to Sovngarde. The Daedric quest for Molag Bal (both in Oblivion and Skyrim shows that an individual can be brought back by Daedric Princes, and while their power is far more than any individual, the Skyrim quest The Man Who Cried Wolf shows that it is possible to bring back an individual with enough power. In the case of the latter this requires the workings of an entire cult, and it's possible that a long-lived dragon possess this knowledge and has the power to use it.