Lord Arkay, while you are very handsome and stylish, this one's eyes still belong to her one true love, Yorda.
She died many moons ago, bravely fighting off bandits to save this one and their son. Khajiit has carried on, but now that her fur has greyed out and her child is a grown man, she worries about what comes after death.
Are you allowed to share which afterlife has a soul gone to, and which is more likely for someone who is still living? This one is sure her wife would have been worthy of Sovngarde, while Khajiit has long stopped adventuring and being a mercenary.
Should Khajiit pick up her old sword, and seek honorable death in combat, so she can finally see Yorda again? What if her old bones betray her, and she succumbs to illness or a measly mudcrab instead?
I'm sorry I have to tell you this, but Shor's a raging racist who only lets Nords into Sovngarde.
Assuming Yorda was a Nord - and there is a Nord woman named Yorda in RKHET's recent records, so I assume that's her? - then yes, she went to Sovngarde, but you won't be able to go there with her.
You, my dear, will have a place in the sands beyond the moonlight. It's always warm there, and maybe Shor will grow a heart to replace the one Auri-El shot across the continent at Convention, and thus allow your Yorda to visit.
If you want to die fighting, you can. Just know that when you come to my realm it won't be how you died that we look at, but rather how you lived.
You seem to have that covered though. Go make yourself a nice cup of tea :)