Gandalf está se referindo a Valinor quando ele fala com Pippin sobre a morte?

Sim

Este diálogo do filme empresta de um sonho que Frodo tem na casa de Bombadil:

That night they heard no noises. But either in his dreams or out of them, he could not tell which, Frodo heard a sweet singing running in his mind; a song that seemed to come like a pale light behind a grey rain-curtain, and growing stronger to turn the veil all to glass and silver, until at last it was rolled back, and a far green country opened before him under a swift sunrise.

^{Fellowship of the Ring Book I Chapter 8: "Fog on the Barrow-Downs"}

Isto é referenciado novamente no final de Retorno do Rei , quando Frodo parte na nave Élfica:

[T]he ship went out into the High Sea and passed on into the West, until at last on a night of rain Frodo smelled a sweet fragrance on the air and heard the sound of singing that came over the water. And then it seemed to him that as in his dream in the house of Bombadil, the grey rain-curtain turned all to silver glass and was rolled back, and he beheld white shores and beyond them a far green country under a swift sunrise.

^{Return of the King Book VI Chapter 9: "The Grey Havens"}

Na Carta 91, Tolkien relaciona este sonho explicitamente a Frodo "Over the Sea":

Frodo will join [Bilbo and Elrond and Galadriel] and pass over the Sea (linking with the vision he had of a far green country in the house of Tom Bombadil).

^{The Letters of J.R.R. Tolkien 91: To Christopher Tolkien. November 1944}

Existe algum debate sobre se isso é especificamente uma referência a Valinor ou a Tol Eressëa, mas independentemente disso; está inquestionavelmente referindo-se às Terras Imortais em alguma capacidade.

Não. Refere-se a Tol Eressea, onde Frodo passa o resto de sua vida natural.

Existem muitas referências islâmicas strongs e significa simplesmente "céu". Foi lindamente roteirizado e do jeito que Gandalf entrega, pode-se sentir isso. Isso sempre me dá arrepios assistindo.