Yeah, my first thought on the latest Belkar prophecy was some sort of undead. After all, Belkar himself would probably love to go that route, particularly if it's some sort of template that lets him keep his mind like Vampire. Also, if it's his "last breath ever," that implies that nobody will ever, ever try to Raise him (seems unlikely to me, as he is a PC even if an Evil one)... or that he'll acquire some condition that prevents him from being raised (for example, becoming undead).
Alternately, he might go through a Gate into the Snarl's domain and get snuffed by the Ubermonster, and we've already seen that that beast prevents any sort of raising magic from working.
As for the Oracle, I do have to agree with Ashardalon: will Roy keep his memories of the afterlife after he gets Raised? Surely the Oracle knows, given how many times he's apparently died and been brought back.