If you click on a link to a question that was on a site that is now closed, you get redirected to the Area 51 proposal page for that site - for example, Why is the timeline of Catch-22 all messed up?, which takes you to the proposal page for Literature.
If, however, you click on a link to a question that was on the meta site for a site that is now closed, you get a 404 at A51 - for example, Theoretical Physics is closing, which takes you to http://area51.stackexchange.com/proposals/lookup/meta.theoreticalphysics.stackexchange.com, which is a "page not found" page. Ideally, this would instead go to http://area51.stackexchange.com/proposals/lookup/theoreticalphysics.stackexchange.com, which will then redirect you to the proposal page.
EDIT (18 Apr 2016): The behavior of links to questions on closed sites seems to have changed since I posted this question in 2014. The above link to "Why is the timeline of Catch-22 all messed up?" now just goes to a standard "Site not found: literature.stackexchange.com" error page, where previously it used to send you to the A51 proposal. So now, the behavior of meta links and main links to questions on closed sites are the same, in that they're both broken. (?)