I'm not going to lie. It's really good to have Kai back in Mystic Falls. However, he's definitely up to his own tricks, and by tricks I mean making Elena's coffin disappear. So where did Kai take Elena on The Vampire Diaries? Right now, they both could be anywhere at this point. It all started when Damon tried to convince Kai that, instead of murdering all of the bad people in town in order to grow stronger, he needed to seek redemption and forgiveness from those who he most wronged. He was, of course, referring to himself, given everything Kai has put him through. And the only way to go about getting his forgiveness would be if Kai were to bring Elena back to life.
Only here's the thing — Kai isn't easily tricked and manipulated. He's been in hell long enough to know that there is no hope of redemption. It's just a pipe dream others try to tell themselves to get through the day. So in true Kai-fashion he decided to double cross Damon. As soon as they were next to Elena's coffin, he attacked Damon, draining all of the magic out of him. Once he was done, he had enough magic in him to be able to disappear into thin air... along with Elena's coffin. As to where they went, that's pretty much anyone's guess.
That being said, I feel like Kai's going to want to use the magic he's obtained sparingly, so that he doesn't lose it too fast. Cade knows that he's escaped hell at this point, so he's going to be on the run and it's much better to have a little magic on his side for as long as possible. Perhaps that means he hasn't taken Elena very far. I suppose he could for the obvious approach and hole up somewhere in the Mystic Falls graveyard, but I feel like Kai is way too smart for that.
Maybe he took the coffin out of town to a safe location he'd discovered before his original death. That way anyone who tries to hurt him, could lose Elena's whereabouts forever. But since we know Nina Dobrev is returning for the series finale, something is probably going to go wrong with this plan. Unless Kai still intends to bring Elena back to life on his own. Maybe he thinks that if he can offer Cade a trade — her life for his. Either way, I'm very interested to see how this will all play out.