In some fantasy settings, there’s an alternate way of traveling that amounts to magical paths, which may have a corresponding magical doorway for access. Using these paths typically offers an advantage accompanied by great risk. A common advantage is much faster travel, which can help story issues when we need them to get somewhere faster than possible. The usual dangers are nasty and dangerous things one might encounter, whether living, dead, or inanimate (and possibly supernatural). This adds adventure, as well.
Other people could be walking these paths, posing another risk. Maybe they (or our characters) are lost and have been so long that this place has changed them, whether actual mutation or desperation leading to mindsets they’ve never had or acts they wouldn’t normally commit. Do they prey on travelers for survival? The normal rules of physics sometimes don’t exist in these places, such as time moving differently.
In the real world, a path leads through and around other locations. We can invent these within this supernatural landscape, from buildings like castles, homes, and magical towers, to land features like forests, rivers, and mountains, all with supernatural properties or life within them. If we create enough sufficiently interesting places, they can become another reason people enter this land, to acquire something found within, rather than to travel through it. Perhaps wizards can find rare items to use in their spells, or send someone else to fetch them; this is the basis for my free novella, The Ever Fiend (Talon Stormbringer).
The doorways into this other world can be wholly supernatural or physical with supernatural properties. They may be located in places that are inherently dangerous or which have become that way due to being guarded by something, or that territory being controlled by something nefarious. Consider naming not only this supernatural land but the doorways. Inventing an origin is optional but helps with realism and our invention of additional details. An obvious source for a supernatural land is the gods. Omitting an origin adds to the place’s mystery, though we might want to decide in our files and withhold the revelation from an audience.
A template in the appendix can assist with the invention of supernatural lands.