Omega is buried beneath the Cartenau Flats back in Eorzea and is likely to end up under the control of Lolorito at this rate. We've been told that Omega will play a role in the expansion though so it's entirely possible he'll be reactivated and somehow end up in the Heavens with us.

That final Allagan dungeon in the preview looks like something else though. The final scene they show is of something very large imprisoned in a Dalamud-like structure, complete with blades of energy piercing whatever was being held in the centre. The sudden change in colour scheme there (from blue to red) and the new architecture (lots of spikes and those yellow glowing pods) matches the unique style of Final Coil as well so I'm not sure if that will be of any significance. That dungeon may be where Dalamud was first created. Either way the boss seems likely to be whatever is imprisoned in that sphere, and we know that isn't Omega.