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I'm with Nilpaurion Felagund .... I would believe that 'hell' in middle earth is a situation in which a spirit is trapped irreversibly somewhere it does not belong.
Melkor we see had grown more attached to Middle Earth as he had spent so much of his power in controlling living things and having a physical shape and so his 'hell' was to be cast out in the void, as his soul was linked to ME.
Saruman went into Middle Earth after being a Maiar in Valinor. His stay in ME was only temporal but his spirit -belonged- to Valinor.... and thus he was rejected.
So what was Sauron's punishment? he is still confined in Middle Earth, but I would not expect him to want to go to Valinor.... perhaps he would have liked going to the void, to return to Melkor's side? As far as I know (and I reckon I don't know as much as others in here, feel free to correct me) Sauron was continuing Melkor's work.... and maybe he wanted to go back to his Master's side.
Does anyone know a little more about the Melkor-Sauron relationship? specially, if Sauron ever wanted to take Melkor's place before The War of Wrath... if I'm not mistaken, Sauron was Melkor's second in command and he (sauron) was not trying to back-stab his Master.
Conversely, perhaps, heaven is to be somewhere they do belong... and no, Mando's rooms would not be heaven. If I'm not mistaken (and I might be) the soul of the elves who have been really good in life can be re-bodied.... and we know that the elves 'belong' in Arda so perhaps being given a new body is heaven for an elf?
For men we do not know as their souls just leave the picture and it is not told where they go... nor I know about Dwarves.
But I think Nilpaurion Felagund is on to something.
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