I heard this in "Gloomy Sunday" song. Is it true that it means: "the death coach carried you to unknown place..."?
I believe this is the lyric you're writing about:
Not where the black coach Of sorrow has taken you.
The general meaning is that the "black coach of sorrow" is a metaphor for death, and the implied place it has taken the person being sung about is the afterlife.
This lyric poetically expresses the metaphor that death is like a journey to a place from which a person cannot return.