The same pocket of Oblivion where you pull your horse out from.
It's basically a gameplay mechanic, because it's not feasible to rely on actual corpses being around when you need them.
So where do those undead minions actually come from? According to tooltip you literally pull them from the ground and the animations suggest the same but I don't think it makes much sense that there is always a skeleton conveniently burried underground no matter where you are. Is it may be explained in more detail in the Elsweyr storyline?