I don't know what's in them, but in the moon, there is a massive chamber filled with rows upon rows upon rows... you get what I mean, of cocoons, eggs, or something on that line. So it's completely iffy on what the cocoons are for, but I believe it would most definitely shed some light. Maybe the cocoon is where they do take the dead, or maybe they are egg sacs laid by a queen. Which supports why there are such large spaces, the mindlessness of the thralls, and why they are expressed as knights, acolytes, wizards, etc. But if there is a queen, I bet there is a 50% chance of a king, and I don't want know how strong that is.