If you have a specific reason to RP a character like this, that's one thing, but I'd highly recommend not basing your character off an area of lore that is not only easily changed/explained by Blizzard, but is vague at best and cannot ever be divulged. It's a little like "good" Dragon RP in a sense: you can't inform anyone of it, so most of the time the RP-effect is just for you.
On the other hand, though, Shadowpriests are more in tune with death and the more macabre aspects of faith. Ironically, IIRC the eventual fate of a Shadow Priest is to become a shade, unable to interact and eventually be seen by the world around them.
Also, I hate to be "that person", but something about Bridanbraid and Koltir makes me feel that it's more a fourth-wall breaking message from the Developers about the person that died than an actual in-lore thing. It's heartbreaking stuff, but it wouldn't be in if not for the real-world circumstance.