Orcs are shamanistic and it varies from tribe to tribe. Shamans/Druids are sort of similar philosophically. Shamans are much bigger on natural spirits, ghosts and things like that.
They do tend to go back to nature, or sometimes reincarnate. However, there are also some Orc gods, and as you see in Nysegard, they can sign up for another god with an afterlife plan if they want.
Ha! They probably go to the Orcs’ version of Hell. in other words, the Outer Planes, where they’re forced to sit on clouds, playing harps, and wearing white robes and singing hymns.