An excellent question! Hadn't really thought about it. My opinion without doing a lot of research is that Tolkien never addressed the issue, and it may be impossible to answer with any certainty. Orcs were bred in "mockery" of elves, but used elves initially to begin the process. According to Robert Foster orcs did not die naturally, so if any elvishness remained in them, I can make an argument both for and against orcs going to the halls of Mandos. On the one hand it seems cruel to "heal" an orc back to its elvish origins, only to have the creature become aware of the evil it has inflicted on others and to live an immortal existance in guilt and shame. In this scenario I would think that it would be kinder to just let them perish. And the question remains about how much elvishness was actually in the the orcs that were bred in later generations. By the time of the War of the Ring, they had become their own race, and no one in the book (including the Elves) seemed concerned that they were killing a cousin of sorts. I suppose that another argument could be made that any "spirit" had been bred out of the orcs, so that when they were killed they were just like Rover - dead all over. In this sense it makes the the original question bogus, since we cannot ask where the spirit of a spiritless being goes. It also presupposes that the creations of Melkor and Sauron had a hope of redemption.