User blog comment:Crimson and Darkness/Volume 24 discussion blog/@comment-86.180.53.240-20171010132719/@comment-29963364-20171011035334

Remember the Third Heaven back in volume 18?

That is where the "faithful" go when they die. Even Griselda Quarta said that the Third Heaven is "so massive that it's nearly endless" because of how many believers there are in it. Although Issei did see Cleria Belial (who is a Devil) there, so maybe she was given special access.

We also know that Purgatory (the realm where souls with regrets stay) connects the Realm of the Dead (a Greek territory) to the Third Heaven (a Christian territory). That was how Rizevim was able to invade Heaven.

From this, I think we can assume that dead people's souls go to whichever heaven they believe in (if their good), and the rest (sinners, non-believers, non-humans, etc.) go to the Realm of the Dead.