They were killed in Oryx's Throne World, not their own. Thus they did not truly die. By the sounds of it, that the manner in which they were killed locked them inside their Throne World until an act corresponding with their nature was committed by their sibling.
(Of course it is always possible Oryx made up this story to bolster his reputation. As Savathûn says "these books are full of lies".)
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Thanks, and I'll keep that in mind too!