What's probably there: Hell. Or something very close to it. Think about this: During his lengthy quests to rescue Peach/Daisy/Whoever, Mario--since Super Mario Bros. 3--has had an entire, open-world map through which to navigate his way to his end goal. The game levels are the paths he chooses to take.
The lava-filled, pit-pocked, enemy-strewn strips of land that he jumps, dies, and jumps through again are the nice bits. They're he routes he actively takes rather than going around them. In order for them to be such a significant respite from the rest of the world, everything else must be unformed void-space, possibly filled with eldritch abominations, and where the only sound is that of a baby crying, slowed down 1000%. And played backwards. Underwater.