As L. Frank Baum developed Oz, he eventually made it a place where no one dies, although he wasn’t always totally consistent on this point. In The Tin Woodman of Oz, he reports that death and aging stopped when Lurline enchanted the land, and implied that this happened long ago. Other references in the books, like how Nick Chopper’s father died after visiting the Emerald City, imply that the lack of death was more recent, regardless of when the enchantment was. Either way, though, there must have been a time when people did die, yet we never see any evidence of graveyards or the like. In Ruth Plumly Thompson’s Silver Princess, Kabumpo briefly considers that Gaper’s Gulch could be a graveyard, but dismisses it because “no one in Oz ever dies.” I suppose he knew it wasn’t a relic from the earlier days because the dirt on the sleeping chambers was too fresh.
I’ve seen it suggested that the Ozites disposed of dead bodies by throwing them into the Deadly Desert, although if the sign in Road specifies that it turns LIVING flesh to dust, that doesn’t tell us what effect it would have on DEAD flesh. There’s also no indication as to whether Ozites believe in an afterlife. Interestingly, The Life and Adventures of Santa Claus, while giving a rather pagan-flavored origin story for Santa, also expresses a pretty Christian-sounding view on life after death through the mouth of the Master Woodsman. Ak tells the Awgwas, “On earth you are scorned by all, and in Heaven you have no place! Even the mortals, after their earth life, enter another existence for all time, and so are your superiors.”
And the Scarecrow’s origin story in Royal Book hints at reincarnation, although the Emperor Chang Wang Woe never actually dies. When the Gump’s head is brought back to life in Land, it says, “The last thing I remember distinctly is walking through the forest and hearing a loud noise. Something probably killed me then, and it certainly ought to have been the end of me.” He gives no indication of passing into any kind of afterlife after dying.
One of the oddest takes on death in an Oz-related book is in Sky Island. Ghip-Ghisizzle explains that, in the Blue Country, “When our six hundred years are ended we march into the Great Blue Grotto, through the Arch of Phinis, and are never seen again.” Button-Bright asks him what would happen if someone refused to do this, and Ghip-Ghisizzle says it had never come up. Later, the protagonists see the arch, and regard the area beyond it as “dark and terrible.” Exactly how the Arch of Phinis works is something I’ve wanted to address, but could never really come up with anything fitting. Outside the Blue Country, the 600-year rule apparently no longer applies. We don’t know how long the residents of the Pink Country live, or what happens to them after that. Incidentally, the Boolooroo is said to be 500 years old at the time of the story, and that book was published 102 years ago. So has he passed through the Arch of Phinis by now? That could make for an interesting story point.