In the lore I believe murlocks are the old-god corrupted spawn of a frog god. (krawg’wa? Not a lot of frog gods around)
So… I would guess they go wherever old-god’s go or whatever the aquatic version of ardenweald is, mostly. (I think cookie is an exception to the rule)
More interestingly… Where do the Oracles go since their forms and intellect are altered by titan, old god, and wild god sources.
Murlocks are also immune to the mind control of the Lich King, becoming free willed undead instead of his thralls (this is cannon currently in game). Does this by extension mean they are immune to the jailor’s influence?