well ingame mentionings of an afterlife are most often named " Void or The Void.
as far i read/seen most ingame races believe after dieing they head towards something with this name, though the description of itself varies.
tauren view it as a great plain for hunting, while orcs more see it as an eternal battlefield. trolls seem to believe more in a spirit world.
but all 3 of these races have ingame mentions towards calling it the Void. if i remember correctly the alliance side has some reference too it also with the same name.