Ok... If my band of adventures some how survived the end
you know that is one HUGE crater there at the end.
If I had to write a story I believe this would be the most logical travel plans for my merry band in there quest to uncover the mysteries of Grimrock and it keepers. 
First having survived they would not want to broadcast that fact to the king and courts that sent them there. Instead they would head overland to the west. The Forest of Malan Yera sitting in the arms of the Deathfang Ridges is the most likely place of any ruins of the Goromorg and any hope of unraveling what the Undying was and weather or not he has truly met his end. 
*Note from here on I just sort of run off the cuff with a whole host of assumptions which might or might not be an interesting read to you.*
There we would find the ruins of the outpost from when the mountain prison was first build ages before historian of the current kingdoms can recall. Here they would uncover that Before the Undying was a prisoner of the Goromorg he commanded an undying armor to the north and had a sizable kingdom of his own. One that was at risk of sweeping over the world and the reason the Goromorg made there trap and imprisoned him in the first place. So they would travel from there to the north there only clue being some of the artifacts found within the dungeon itself. 
Icefall Bay would be the location they would end up. Here they would find the locals had stories of a light in the sky that traveled over the bay with a sickly howl and about how the long dead had started to rise up at night. The timing would connect with the Undying defeat and would be taken as an ill omen by the party. They would seek up these places of the long dead that the locals told them about. Thus uncovering a old set of ruins belonging the the Undying fallen kingdom. After plunging into its depths and combating servants of the Undying that were attempting to bring about his return much would be uncovered. Chef among them being that the Undying as per his name sake can never truly be killed for long. 
But with the Goromorg's trap and prison destroyed that was little hope now to stop his return. Not giving up hope they would travel by sea to the Isle of Nex a place no explorers have gone to and returned an island of mystery shrouded in the fears and folk tales of the southern lands. Having to bribe the must insane of captains just to get close they would make land fall by long boat with there captain giving them only seven days until he would abandon them. Here they would uncover the Tower of Nex. All manner of magic beast and construct roaming the island. After many battles they would reach the tower and climb it's heights uncovering the final secrets of Nex, the Goromorgs and the Undying. In the end crafting a new prison within the tower and drawing the undying there for a final battle before locking him away within the tower.