You can access other Planes! You hardly ever want to do this, though. Most of the time, units are jettisoned into other Planes by powerful magic, and they're quite hard to return from.

Technically the space between all other places, the Void is Province -11 in all games. It's never on the map, of course. Units are typically lost there through getting unlucky with the Returning effect (from the combat spells, the Ring, the Ritual, etc.) or MA & LA R'lyeh's Void Gate. Being in the Void incurs a little Insanity, and creatures of the Void (not Horrors, thank gosh) will attack you every turn.

The Inferno is Province -12, and is also never on the map. Units are typically sent there by the Infernal Prison Blood spell or certain Weapons. Devils (sometimes including one of the five Arch Devils or one of five of the six Demon Lords, if they aren't alive on the main map) attack each turn. If they survive, trapped units might escape at the end of each turn, though the chance of them busting out is fairly low without certain Artifacts.

The Inferno is also known as Hell, and is always under the Heat from Hell Battle Enchantment. It's also almost always completely dark, because its Sun is one of the Demon Lords and doesn't often bother with fighting.

Kokytos is Province -13, and is also never on the map. Units are sent here by the Claws of Kokytos spell. Frost Fiends (sometimes including one of the six Ice Devils, if they aren't alive on the map) attack each turn. If they survive, trapped units might escape at the end of each turn, though the chance of them busting out is fairly low without certain Artifacts.

Kokytos is always under the Grip of Winter Battle Enchantment, and is always completely dark because the Inferno's Sun never visits. The 'sky' is always red for some reason; maybe that has to do with the Battle Enchantment, or maybe it's located under the rest of Hell like in Dante's work.

The Astral Plane is not treated as a province. Units that fight here will keep the Dominion boost of the province that they're in (if they're a Prophet or a Pretender).

If units from different nations somehow end up in the same plane, they will be queued to fight whoever else is there; the game never has more than two sides fight at the same time, though, so the battle order is randomly determined as it is with the Turn Order.