User blog comment:SajuukKhar/Lorkhanic Rambling/@comment-3186827-20131014122259/@comment-3573184-20131014210410

I believe it's in Atherius myself.

While Lorkhan is enemy to the Elven gods, he is allied to the gods of Men, and while the Daedra, who share similar realm building, fight amongst each other constantly, they are all sill located in Oblivion.

Lorkhan's realm is likely in a part of the infinite realm of Atherius the Elven gods don't reach.