Note: I haven't been very active within the 17th shard, and don't know if this idea has been brought up before. Also, this will jump back and forth between several Cosmere works, but will mainly focus on Warbreaker.
Now to begin...
I was recently rereading Warbreaker when I noticed something interesting. Specifically on page 129 when Llarimar is talking to Lightsong about why he would have returned
As to how this origin is specifically is important, in Mistborn: Secret History
We also get to see the Cognitive Realm from Jasnah and Shallan's point of views in the Stormlight Archives, essentially a world filled with an ocean of spheres. With the way the Cognitive Realm is shown on these shardworlds, it can be seen that the Cognitive Realm mirrors the Physical Realm and is where people go after dying, but only temporarily in most cases. As to how the amount of time someone remains within the Cognitive Realm affects the origin of the Returned, we know that after a few moments, minutes tops, the soul, or Cognitive Shadow, moves on to the Spiritual Realm. Within Warbreaker, when Llarimar reveals Ligtsong's former life, he mentions that they found him dead, and then he Returned. This means that Lightsong had been dead for a relatively long amount of time, as he had died at sea and they had had to recover his body. Most likely within this circumstance, Lightsong had moved on to the Spiritual Realm, and then Returned.
Another reason to support Lightsong's journey to the Spiritual Realm, is the perception of time. As shown in both shardworlds, time moves parallel between the cognitive and physical realms. This means that the future couldn't be seen in either of these. With this knowledge of the realms, anything that does not play into the present status of the Cosmere, must occur within the Spiritual Realm. This is supported within the Emperor's Soul as the magic system, forging, works by changing the past of the person or object being affected, and has also been mentioned as pertaining to the Spirtiual Realm. With this idea in mind, the quote from earlier mentions the future, which is not the present, and therefore would likely occur within the Spiritual Realm.
I must now humbly admit that this is a theory, and is simply based upon what was seemingly a revelation to me as I was reading. However, I do ask that you take this seriously, and take whatever thoughts it inspires to new heights, and maybe even offer more evidence to support this theory, or tweak it slightly to make it fit better within the cosmere.