We did fight him in his throne world. Because of Crota letting Vex in by accident Oryx pulled his throne world into reality and anchored it to the dreadnaught to make it more secure.
His throne world is the dreadnaught.
Reading the oryx: defeated card confirms his death
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His throne world may be the dreadnaught, but i believe the walls of the ship are the limit, when we fight him, we are pretty much in space. I say that because we can see Saturn, and when he is "killed" he just floats away. his sisters are still able to resurrect him probably, he isn't permanently dead.
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It's very possible we could see the return of oryx at a later point. Oryx was able to resurrect his/her sisters during monumental victories by doing it through their image. Essentially called their essence back into being.