Huh, I don't recall it ever coming up in the books. I was thinking there was one instance where they were in a tomb, but thinking back I think it was just one of the Lord Ruler's caches.
Honestly I assumed they did the same with the dead ska that they do with all the ash that falls from the sky: throw it in the river. Nobles probably treat their own dead much better, probably family mausoleums or the like.
I can see this, though just throwing dead bodies in the river could cause serious health problems even for the Nobles. Plus, the society seems to be a little more sophisticated than that in other areas.
So, with Skaa, they already have a system for dealing with copious amounts of ash so I figure they would be cremated and added to the existing ash removal process. The most generous of masters may even give the immediate family a day off to mourn the dead.
I can definitely see Nobles running the gamut of burial methods. Lesser nobles may be buried with headstones while the more affluent have mausoleums.