My theory is that Sieglinde did not kill her father, but simply told the chosen undead that she did with the intent of taking him somewhere else. She mentions that she had to kill him, that is how he became undead and we never find out why she killed him, but throughout her story she is searching for him and mentions a few times that she is worried he is causing trouble. But what is the trouble? All he causes the player are a few minor inconvinences, and barely that. She was following him to keep him out of trouble, and possibly kill him again if it was needed but at the last minute she couldn't do it. So she told the chosen undead he was dead and took him with her when she left. This could be disproven if his body remains after she leaves Ash Lake, though. Any thoughts on this?
I also think that Siegmeyer became suicidal near the end of his path. He appears in one of the most dangerous areas in the game, and decides to bum rush four enemies that have a near instant kill attack. Then, if you successfully save him from the monsters he says he's just going to take a nap and that the ground will be his bed. The poisonous ground. Finally Sieglinde mentions that he was embarking on his final adventure, and makes it sound more like he has died or is going to die on purpose. It is possible he went and attacked the Everlasting Dragon and got killed since the dragon is immortal.
Does anyone know if his body vanishes? Or other thoughts on the theory?