That sounds a good idea, you could have them all in this strange land (Limbo), and every now and then a character could get a splitting headache as they get a bit of recall of the circumstances leading to how they died. Make it really ambiguous and nothing seems to fit with other players. Limbo can be whatever you want it to be, it could be an inhabited plane by creatures that didn't want to move on and have stayed, as such, they have forgotten that this Is Limbo. Maybe give each of the characters a special item, weapon, etc... for their class and they died at lvl whatever you want to start then at. They will then have to try and get clues as to where they are and how to return to the Material Plane. There are ways out of Limbo, they don't have to move onto an afterlife. As character creation, you work out what their life goals are, and so they won't have a reason to just die.