We don't know.
Someone asked GRRM in a video interview, but he ain't saying. From this Reddit page:
"Hi George! I have a couple of questions. First of all, do we ever find out where do whores go?"
"Well..." he said, uncertain and hesitant to answer the question.
"Oh, I'm not really asking for the story, I just want to go there."
Everyone laughed, including Gurm [sic], and through his high-pitched giggles he uttered a "Yes."
"Really? Oh, that's so cool, thanks!"
Naturally, the internet is rife with speculation, and theories abound.
That should give you a good deal of reading material if it's theories and rumours you're looking for. But as far as hard facts go, we won't know until book 6 comes out, if then.