LeftHandofGod (Well, if we look at this part taken from http://lotr.wikia.com/wiki/F%C3%ABanor#cite_note-Flight-4
(I don't have The Silmarillion in my possesion, borrowed it a couple times from the library)
"However, Fëanor knew that his wounds were mortal, and bade his sons to stop. He looked upon Angband and cursed Morgoth thrice, but gazing upon the sheer scope of Morgoth's stronghold, he understood at last the truth of Mandos's words; that no force of the Ñoldor would ever overthrow the Dark Lord. Nevertheless, he instructed his sons to keep to their oath and avenge their father. As he died, his fiery spirit left his body and burned it."
The Oath passed on to his sons, who made that oath like their father did. Tolkien left a lot open for interpretation, so yes, he could have went to space.)