Lelouch isn't dead though. He stole his father's code (immortality) when his father tried to strangle him. After suzaku killed lelou at the end then lelou's immortality enabled after his first death, and since Nunnally touched him she got the "memory read" geass thing and saw his past conversation with suzaku on his plan to assassinate himself. Then you see a wagon riding with CC on top talking to lelouch who is riding the wagon.