Mordekaiser's new bio reveals that there is no heaven or hell. Just a shapeless afterlife akin to the way the afterlife was depicted by the earliest of ancient Greek myths (before stories were added that added a special place for other famous characters). No consciousness for the most part, just souls drifting in a void.
From the sounds of it, though, Mordekaiser's faith had him believing that there would be a place akin to Valhalla. Not exactly the "paradise" most monotheistic religions believe in, but a place where worthy warriors can enjoy the thrill of combat. But that was wrong, so he's basically making his own. Which is actually pretty nice of him. At least the souls can _do_ something besides drifting lifelessly.
But there is one line that calls into question the afterlife he first encountered, "Mordekaiser hungered for all the forbidden knowledge of spirits and death, and a true understanding of the realm… or _realms_… beyond." The mention that there may actually be other realms besides the grey, empty one that he encountered is incredibly interesting. It may be that there are several different kinds of afterlife, and there's some magic component that determines which you end up in.
That aside, the fact Mordekaiser's creating a pseudo-Valhalla means if he kills Olaf, Olaf basically gets what he's always wanted.