Kyrian players get a quest in Bastion that explains it and fits in with previous lore regarding Liches, Undead, Demons, Elementals etc...
If someone is raised into undeath they are sent back, or pulled back, from the Shadowlands, denied death by necromancy.
Liches do it to themselves via Phylacteries and the rest are raised by necromantic magics and energies.
Similarly Demons and Elementals are sent back to their respective places and not the Shadowlands. So either the Twisting Nether or Elemental Planes in those cases.
The quest really should have been part of the leveling story and not Covenant locked.