The history of Middle-Earth (chibi version): Part 67: Crime and punishment

I think the problem there is that the pagan Norse didn't write down any of their myths, so the only sources we have for them are Christian ones.

Tolkien definitely had the fixed concept that someday the world would end: nothing material is eternal. The Day of Judgement is right there in the Bible, after all; it's not only a Norse concept.

Of course, he'd also argue that every Ainu and Child of Eru has an immortal soul, which likewise cannot be destroyed. When the world ends, presumably God will take back all the souls into Heaven. Some of his more abstract essays were about what the Elves think will happen to their souls then, since they're tied to the world and never leave it.

Notice how in LotR the deaths of two Maiar (Mairon and Curumo) are described in very similar terms: a giant ghostly form of darkness or mist soars up into the sky above their body, like a great figure looming over the world. But then a great wind comes and blows the figure apart, and it dissolves and vanishes. I always took that wind to be Manwë sending the message, "Nope, unlike Gandalf you two do not get new bodies".

Before he lost the Ring Sauron was probably powerful enough to defy Manwë - at least at a distance, maybe not one-to-one - and form himself a new body anyway. After losing the Ring he was too weak, and so his dissolution is permanent.