All know that Elves cannot die, and that Men do. All know that Men go unto the Underworld upon their death, and that the Elves retire unto the Spiritual Elysium. Yet in the Great Scheme, where goes the one with one foot in the Underworld, and one foot in the Realm of Spirit?
If you want to add a "supernatural" touch to your campaign, define the rules of magic and the universe. Make your players comfortable with those rules. Then your new supernatural creatures must then break those rules.