First of all Jesus spoke Aramaic and would have used the word "sheol", which means grave, pit, or hell. Second their will be millions martyred during the great tribulation; also when the dead arise Christ will be bringing them will Him.
Now, I think Omega has a good grasp of reality. No matter if we are in hades awaiting the first resurrection, in heaven, or still alive when the Lord returns He is with us from the moment we are saved. Have you read John 17?
Now lets put your Scriptures in context:
1 Thessalonians 4:13-18
13 But I would not have you to be ignorant, brethren, concerning them which are asleep, that ye sorrow not, even as others which have no hope.
14 For if we believe that Jesus died and rose again, even so them also which sleep in Jesus will God bring with him.
15 For this we say unto you by the word of the Lord, that we which are alive and remain unto the coming of the Lord shall not prevent them which are asleep.
16 For the Lord himself shall descend from heaven with a shout, with the voice of the archangel, and with the trump of God: and the dead in Christ shall rise first:
17 Then we which are alive and remain shall be caught up together with them in the clouds, to meet the Lord in the air: and so shall we ever be with the Lord.
18 Wherefore comfort one another with these words.
KJV
Why does Paul say asleep instead of with the Lord?
Jude 13-15
13 Raging waves of the sea, foaming out their own shame; wandering stars, to whom is reserved the blackness of darkness for ever.
14 And Enoch also, the seventh from Adam, prophesied of these, saying, Behold, the Lord cometh with ten thousands of his saints,
15 To execute judgment upon all, and to convince all that are ungodly among them of all their ungodly deeds which they have ungodly committed, and of all their hard speeches which ungodly sinners have spoken against him.
KJV
When Jesus returns we will meet Him in the air and come with Him; after those who are asleep (dead) are resurrected.
To tell you the truth what happens after I die is already determined and to debate it now is ignoring something Jesus said:
Matthew 6:34
34 Take therefore no thought for the morrow: for the morrow shall take thought for the things of itself. Sufficient unto the day is the evil thereof.
KJV