@currypizza Ehh, I think you've missed a bit of the translation shenanigans. "Mu" basically means "Dude, that question assumes things that are all kinds of inaccurate, idefk what to say." So if I asked you, "Stephanie, have you stopped beating your wife?" then "mu" would be an appropriate thing for you to say, because you've never beaten your wife to begin with, largely because you don't have one.
So, when they say, "the place they go -- it's mu" means "'the place they go' is a phrase based on false assumptions". Which means that there's no place they can go. There's nowhere to go. Nothing to go to, not even a white floaty place in the middle of nowhere. There's just nonexistence. And since there's no way to translate that without being ridiculously verbose, it just translates as "nothingness".
That said, an AU can have whatever the hell it wants in its afterlife. Interdimensional labyrinths, even.