Nagrand, but it depends. I wouldn't delete the toon, it isn't necessary.
If you also play, you know that we create a mythology for each of our toons. Each of my toons has a particular place that just resonates with them. One or two would be in Nagrand, but another might be in Hellfire Pen, etc.
Really, if you want to park your brother's toons, place them where you think he would want them to be. If you want to give away his gold, go ahead. I wouldn't delete them.
I'm sorry for your loss; cope wth it as best you can, and in your time. Don't feel compelled to deal with this immediately.