This question is motivated by What manifolds are bounded by RP^odd? (as well as a question a fellow grad student asked me) but I can't seem to generalize any of the provided answers to this setting.

Allow me to give some background. Take all (co)homology groups with $\mathbb{Z}_2$ coefficients.

Given a smooth compact manifold $M^n$, let $w_i = w_i(M)\in H^i(M)$ denote the Stiefel-Whitney classes of (the tangent bundle of) M. Let $[M]\in H_n(M)$ denote the fundamental class (mod 2). Consider the Stiefel-Whitney numbers of $M$, defined as the set of all outputs of $ \langle w_{i_1}...w_{i_k} , [M] \rangle$. Of course this is only interesting when $\sum i_{j} = n$.

Pontrjagin proved that if $M$ is the boundary of some compact n+1 manifold, then all the Steifel-Whitney numbers are 0. Thom proved the converse - that if all Stiefel-Whitney numbers are 0, then $M$ can be realized as a boundary of some compact n+1 manifold.

As a quick aside, the Euler characteristic $\chi(M)$ mod 2 is equal to $w_n$. Hence, we see immediately that if $\chi(M)$ is odd, then $M$ is NOT the boundary of a compact manifold.

As an immediate corollary to this, none of $\mathbb{R}P^{even}$, $\mathbb{C}P^{even}$, nor $\mathbb{H}P^{even}$ are boundaries of compact manifolds.

Conversely, one can show that all Stiefel-Whitney numbers of $\mathbb{R}P^{odd}$, $\mathbb{C}P^{odd}$ and $\mathbb{H}P^{odd}$ are 0, so these manifolds can all be realized as boundaries.

What is an example of a manifold $M$ with $\partial M = \mathbb{H}P^{2n+1}$ (and please assume $n>0$ as $\mathbb{H}P^1 = S^4$ is obviously a boundary)?

The question for $\mathbb{R}P^{odd}$ is answered in the link at the top. The question for $\mathbb{C}P^{odd}$ is similar, but slightly harder:

Consider the (standard) inclusions $Sp(n)\times S^1\rightarrow Sp(n)\times Sp(1)\rightarrow Sp(n+1)$. The associated homogeneous fibration is given as

$$Sp(n)\times Sp(3)/ Sp(n)\times S^1\rightarrow Sp(n+1)/Sp(n)\times S^1\rightarrow Sp(n+1)/Sp(n)\times Sp(1),$$ which is probably better recognized as

$$S^2\rightarrow \mathbb{C}P^{2n+1}\rightarrow \mathbb{H}P^{n}.$$

One can "fill in the fibers" - fill the $S^2$ to $D^3$ to get a compact manifold $M$ with boundary equal to $\mathbb{C}P^{2n+1}$.

I'd love to see $\mathbb{H}P^{odd}$ described in a similar fashion, but I don't know if this is possible.

Assuming it's impossible to describe $\mathbb{H}^{odd}$ as above, I'd still love an answer along the lines of "if you just do this simple process to this often used class of spaces, you get the manifolds you're looking for".

Thanks in advance!