There are a couple of hints in the book that he's not dead, and he does seem to have a small hope, but in the last scene with Uriel, he seems pretty sure he's off to the afterlife. He says goodbye to Uriel as if its a final goodbye, and then

Then, moving briskly, lest my resolve waver, I opened the black door and stepped through.

Given the way my life has typically progressed, I probably should have guessed that What Came Next was pain.

Then, he's getting his bearings, looking around. Looks up, sees Mab, she says she has work for him to do.

I stared at her dully, which was probably the only was I was capable of staring at the moment. Then I croaked, "I'm... alive?"</i

A few paragraphs later, he says, But... I got shot. And Told me... I was dead


There are quite a few more lines like that.

I think this is one of those things where it's patently obvious to the readers, but the main character is completely oblivious until its explained to him. Which is a little unfortunate, but I guess we did have the advantage of knowing that more books were coming.