Mistborn: Secret History does not outright confirm an afterlife the way you ask, but is rather suggestive:
Nearby, an unfortunate skaa woman lurched into the afterlife, then almost immediately faded. Her figure stretched, transforming into a white mist that was pulled to a distant dark point. That was how it looked, at least, though the point she stretched toward wasn't a place-not really. It was... Beyond. A location that was somehow distant, pointing away from him no matter where he moved.
She stretched, then faded away.
"You didn't think this was the end, did you?" God asked, waving toward the shadowy world. "This is the in between step. After death and before..." "Before what?"
"Before the Beyond," God said. "The Somewhere Else. Where souls must go."
Chapter 74 of The Lost Metal also touches on it:
...[He] floated.
Floated somewhere high...Was that the planet itself beneath him?... Felt kinda strange to be all the way up here, in the darkness...
"I ain't gonna be a ghost, am I?"
"No. You were Invested when you died, so you will persist a short time, but will soon join the Beyond."
"That's your last question? Your final request of God before you pass into eternity?"
With that, [he] stretched into another place, into another time. He stretched into the wind. And into the stars.
And all endless things
Depending on how you define afterlife, it's also confirmed that the right approach can stop this 'stretching' and allow the dead to persist as a sort of ghost. This is a major plot point in Mistborn: Secret History where
Kelsier
does this. Scholars of the Cosmere are aware of the possibility, though still surprised to see it.
"It's you. You're dead!...One doesn't merely decide to become a shadow!" the man exclaimed..."It's an important rite! With requirements and traditions."