Now, there are many theories as to what happened to HRE. Most can be found on forums and the wikia. The most commonly accepted theory though, is that HRE merely turned into Germany and lost his memory of his childhood with Chibitalia. There are several instances that support this theory, such as the end of the Valentine's day strips, which you can read at APH.starry sky.
Italy though, believes that HRE died in war.