So they end up going to the Halls of Sodnam?... if not they probably should, it sounds filthy enough.
Interesting question though. As canucklhead says, perhaps the first orcs, the ones who were actually elves corrupted, went to Mandos but in their uncorrupted form? Perhaps one of the reasons this was Morgoth's most evil act was that it denied these elves, and their descendants, the chance of being reborn in Mandos? I quite like that myself.
Overall though, I have no idea.