The Never-Never is the spirit world. It exists along side our own as a sort of alternate dimension, but it’s shape is not the same as the Mortal world. The Never-Never is vast, much, much larger then the mortal world, perhaps infinite.
The Never-Never touches the Mortal world in places where they have something in common, a resonance of energies. If a point in the Never-Never is a dark and spooky place, then it touches a dark and spooky place in the mortal world. But, maybe five feet over, it’s only sad, and that leads to a place in a cemetery on the other side of the country.
The Never-Never contains —somewhere— the after life realms known by various names: Heaven, Hell, Olympus, Elysium, Tartarus, Gehena and others.