Maybe he died? Check for burial mounds.

Hmm I wouldn't be surprised if he did since he likes to charge headlong into everything. But I've checked around and haven't found a burial mound for him yet

this happened to me as well on two different play throughs. most recently i was playing as gondor. prince imrahil and others attacked morannon and were defeated and just never respawned. However it didn't say he was killed. There was no mound and all the dialogue is the "i don't know where they are right now" response that you get when someone has been recently defeated but hasn't popped up in their home location yet.

I also realized that Theoden had also vanished / i was getting the same response asking for his location. just before this, rohan destroyed dunland camp, so I think they should have been setting up an advanced camp when all this happened. maybe that's where the glitch is? i'm also not getting weekly resources from either gondor or rohan even though the factions are still around.

Sorry for the long response. I've been trying to find a fix for this, but so far haven't found anything. Hope this helps somehow