based on the text of The Silmarillion, I’d have to say that, being originally Elves, and Melkor having no power to create spirits or imbue living beings with spirits (not even the other Valar can do this, only Ilúvatar; this is demonstrated when Aulë creates the Dwarves), then the Orcs must still have Elven spirits, and thus go to Mandos when they die. but again, that’s assuming The Silmarillion is authoritative on the matter, which it may not be