Some TMNT stuff really isn't for little kids.
Oroku Saki's afterlife is the place where his soul went before he was resurrected by his descendant Oroku Karai. It resembles an endless grassy plain, with a deep river or sea on one side, and a red or blue sky overhead. There is only one structure seen in this entire world: a medieval Japanese castle set on a rocky mountain, where the king of the afterlife dwelt. This location appears in the special Shredder issue of the second Teenage Mutant Ninja Turtles Micro-Series by IDW Publishing.
It is unclear precisely what kind of afterlife this is. Saki described it as being the destination for all those who die, and their uniform fate to become shadows of their former selves, without purpose or autonomy. However, Tang Shen and Donatello's near-death experience seem to indicate that this may not necessarily be the case, and that his destination was only one possible place that dead souls might go.
The demon child Saki meets tells him that time works in a special way in the afterlife, explaining how the king Saki slays turns out to be an older version of himself who had been sent back to the afterlife after his ultimate future death.
When Saki tells Kitsune about this afterlife, she claims not to have known Saki would experience an afterlife before being resurrected. She suggests that it is not a real place, but merely a dream containing a lesson Saki was trying to teach himself. Saki concedes the possibility that this may be true, but does not tell Kitsune that he actually experiences this afterlife every time he sleeps, and often even when he just briefly closes his eyes—the vision is always present just beneath the surface of his conscious awareness.
Saki's full return to this afterlife is shown in the miniseries Teenage Mutant Ninja Turtles: Shredder in Hell.