When they are sitting aside from the Orcs and troll trying to break down the gate Pippin talks about the end and Gandalf reassures him that Death isnt the ending journey.

Quote:

“Pippin: I didn't think it would end this way.

Gandalf: End? No, the journey doesn't end here. Death is just another path, one that we all must take. The grey rain-curtain of this world rolls back, and all turns to silver glass, and then you see it.

Pippin: What? Gandalf? See what?

Gandalf: White shores, and beyond, a far green country under a swift sunrise.

Pippin: Well, that isn't so bad.

Gandalf: No. No, it isn't.”

Does he refer to the Undying Lands when he is saying this?