Erm. I’m so ashamed I know this.
Because in the Lobo’s Back run, Lobo was found to be a corrupting influence in Heaven, causing fights, being a general nuisance, and so on. He was shipped to the netherworld temporarily, but was just as much a nuisance there; they tried to reincarnate him, with imperfect results (they sent him back as a woman, circa WWII London). That pretty much takes care of his post-life options.
FISH
It’s like the old joke:
Heaven doesn’t want him and Hell’s afraid he’ll take over…seriously! So God and Satan agreed to allow Lobo to become immortal.