Planescape cosmology covers in great detail what happens when a greek, norse or celtic sod dies. Egyptian, Indian, and Chineese and japanese all have their alternate endings as well, though hardly with as much detail. Dwarves, elves, gnomes and halflings; dragons, orcs & goblins, even nagas and couatl have their gods or pantheons properly represented too. Not a single prime from toril or other CS world wonders where his soul will go when he dies either.
But this still leaves a significant portion of the world's peoples and cultures without a place to go in The Great Wheel. We can probably send aborigins and American Indians to beastlands as petitioners. But, for example where does Turk-Mongol nomads go when they die? Is there an African pantheon in Beastlands? Do the gods of Incas and Aztecs really dwell inthe Astral?
The same is also true for some DnD races as well. We don't know about the vistani, or about any other gypsy culture for that matter. We don't know about githyanki, now that their lich queen is dead. I really wonder where the Giff go. These are just a few.
If you know the dark of it, or have some idea or opinion on the subject please write. (Because thats what I intend to do)
The Aztec gods live on the Material Plane, according to 2e's Legends & Lore, though there are a few exceptions. The benign afterlife of Tlalocan which Tlaloc created for victims of drowning is in Arcadia, according to the Maztica boxed set. Mictlan, the Aztec underworld, is associated with Niflheim. The realms of the Inca gods haven't been officially defined to my knowledge
Most people travel to the realm of their patron gods or, if they have no specific patron, their plane of alignment. So githyanki go to the Lower Planes (this was true when the Lich Queen was alive, too, unless Vlaakith specifically harvested their soul. This generally only happened to high-level githyanki). Vistani will usually go to the Outlands (being a generally neutral people). The giff are mainly lawful neutral, so you'll see them in Acheron, Mechanus, and Arcadia.
Many African deities have official alignments (download the gods list), and you can extrapolate appropriate home planes for there. The Native American pantheon is scattered throughout the planes with a surprisingly large concentration on the Elemental Plane of Air, if you believe 1st edition, or they all live in demiplanes connected to the Beastlands if you go by 2e.