During the Last Judgement, Jesus will come again to judge the living and the dead with perfect justice. Those who accepted Christ (as well as the righteous ignorant) will go to Heaven, those who rejected Christ will go to Hell.
If you were already in Heaven then you go back there, and same thing if you were already in Hell. But what if you are in neither?
Say Last Judgement comes and you are in Purgatory. In this example you have led a heinously sinful life for most of your life and only avoided damnation because you repented and reached perfect contrition in the last year of your life, so under normal circumstances it would take a really long time before you are purified of your sin and ready for Heaven.
But it’s judgement day, and Christ is going to judge the Living and the Dead, and you are part of the latter group. So what happens? Do you go back to Purgatory, or do you go to Heaven with an unpurified soul?