In my seminal work, "Chaotic Creatia," I described the means by which those creatures known to us as Daedra manifest themselves upon the mortal plane. It is this mechanism that makes it impossible to ever truly kill a Daedra, because they simply return to the planes of Oblivion and then project themselves back to the Mundus once again. The implication is that there are (and always will be) bonds between these planes and our own.
This begs the question, however, if you kill a Daedra within its respective plane of Oblivion, is it then truly annihilated? What about if the Daedra is slain while within one of the Aedric planes of existence? I am fortunate enough to have had the privilege of engaging several Daedra on this subject and I can assure you that they are not forthcoming on this topic.
What I have been able to glean, mostly by way of observing their reactions to my suggestions, is that Daedra do not often, nor do they appear to care to, travel to the planes of existence dominated by Aedric influences. Realms such as the many varieties of Aetherius (Sovngarde being a prime example) do not appear suitable for the travel of Daedric creatures.
I would hypothesize based on this information, and from information gathered from other sources, that the Aedric planes do not share the same energetic tie to the Daedric planes that they share to one another and to the Mundus. Thus, it might be possible that a Daedric vestige slain in an Aedric plane cannot return to its home plane, and thus is left dead or simply trapped for all eternity. The irony doesn't escape me that if this proves true, then a Daedra can only truly die after it enters heaven.
(Ah, how I amuse myself. All pure speculation, of course — but the time does pass slowly here, when it's passing at all. One must stay busy!)