Chminder You probably won't find tombstones or urns for them as the death process was interrupted before the tomb or urn was spawned. And since you added him to your household, making him playable, you have probably broken Grimm. You can keep playing the save if you want, just to see if Grimm starts to do his job again. If he does, then the save should be all right though.
My suggestion is to revert to a prior save or recover a save if you can. Or start a new save if you don't have a prior save and can't recover one.
Hope this helps.