From what I can gather, Depths of Malatar seems to be the next story of Volenfell. Which is nice, ZOS found a way to continue the vanilla stories in the form of dungeon DLC, I appreciate that
There are several unfinished vanilla dungeon story tho, I hope we get to see them soon
, namely (the ones I can remember at least, feel free to add):
1.Selene's Web: The story simply cannot be the end. Selene is alive and well in ES:Arena, and I am sure we all want to kick that mage's ass
2.Direfrost Keep: I guess the story could end there, but the very fact that the pledge is named Direfrost Keep I means at least one more was planned
3.City of Ash: Even after the resucue in the second dungeon, Gilraen indicated that the story isn't over