Since Allah lives in space, protected by fiery missiles (the stars) that destroy the devils and hurl them back down, it makes perfect sense that the jihadis would rise up through the heavens to become one with Him in Jannah.
Btw, not kidding here. That's how early Islamic (and also Jewish and Christian) cosmology viewed the world. Allah's abode was in space. From the Qur'an, 62:7:
"We have adorned the lowest sky with lamps, and made them missiles against the devils, for whom We have prepared a torment of most intense fire."