Hi Sue.
That information is headed "Place of abode" (London) and "City of abode" (LND) on the GFHS burial index CD. I imagine it will extracted from the column headed "abode" in the post-Rose's Act burial register.
I don't think it's necessarily where he died, rather where he normally resided. But it seems likely he would have been living in London and died there and then been brought back to Miserden for burial. It might be worth trying to get a look at the original entry to see if it's any clearer than what's in the index.
Any gravestone at Miserden that might give more details?
I see the family were in Cheshire in 1861 and Emily back in Cheltenham in 1871, so no clue to their whereabouts in 1865 there.
However, I do notice that the Glos FHS online BMD index
http://ww3.gloucestershire.gov.uk/bmd/DeathSearch.aspx has a death which looks remarkably similar to your John:
Surname | Given Names | Age | Year Died | District | Register Entry |
SHEPPARD | John | 33 | 1865 | Cheltenham, Cheltenham | 41 260 |
Might he have been living in London but visiting in-laws in Cheltenham at the time he died?
Pete