What happens in the Under-Realm? Nobody really knows, there are only speculations about what really is. Some say it's just an alternate universe, a different dimension, but very similar to the normal one. Others say that when you die and go in the Under-Realm, you're held hostage by the Nameless God, often represented by a giant tentacle monster. It holds every person who died with one of its tentacles, which are infinite. The people stay in a sort of limbo forever, until the Nameless God decides what to do with them.
It is also said that exceptionally powerful persons, like wizards or heroes, were able to go back from the Under-Realm. Though of course there is no proof of such events, only legends.