"They do, although I can understand why you would come to that conclusion that this was some sort of afterlife. It crossed my mind when I arrived here. Then I was afraid I had become some sort of wraith-like creature. But no; people are brought here during and after their death."

And speaking of wraiths. "You went to reclaim Osgiliath when it was guarded by Nazgûl." It's not a question; it's a statement of disbelief. Of course, he has no idea how badly things became in Gondor during his absence and after his death.