I wondered about this as well. What is worse than gehinnom?
The Ramchal in Derech Hashem says there is something about souls simply being destroyed, just disappearing. He says very few Jews undergo this.
About goyim however, he says that some goyim, the particularly good ones who keep the mitzvos of goyim (and I personally assume most of the world would be included in that – for sure, I believe, sincere Muslims and Christians are, as are most law-abiding decent citizens of most countries) will receive some form of reward and will be serving us, with us teaching and guiding them.
He doesn’t mention explicitly what would be in store for the rest of the goyim. I assume the same as mentioned for the worst of Jews… Simply being destroyed, gone, disappeared, torn apart.