I wondered about this, too. Perhaps it is a bit like Fables, which there are a ton of other worlds, all in keeping with various folklore and fables, with normal mundane human earth being just one of many 'verses in the deck. I mean, heck, SPN has heaven, hell, purgatory, planes of reality alongside ours inhabited by spirits, fabricated realities created by tricksters, time travel, and now Oz, so why the heck not?