[TigerBlood]

Immortal units respawn in their home province, providing they die in a friendly dominion.

They do respawn inside a fortress.

As for the exact order of events, I am unsure. Pretty sure it happens before the start of the following turn, in which case the unit will be available to defend. I always seem to experience losses when using vampires, for example, but most of the time the units simply reappear inside the province garrison.

I have had an immortal pretender continually respawn on an enemy capital that I had captured. Once I eliminated the hostile dominion in the province, it stopped happening as frequently. In that particular instance, it was treated like an attack. I am not sure if this is the case with all immortal units, or just pretenders (it may have been the result of Call God and not Immortality).