Not much is known about Nowhere. It may be a dimension outside of Creation, the Hells and the Heavens. Amadeus and the Intercessor are the only characters to have shown knowledge about the Nowhere. It seems likely that Neshamah knows about its existence but no proof for that exists.
Staying in the Nowhere may have a price. The Intercessor seems to drink alcohol to forget but it is not clear if she wants to forget the Nowhere or other tragic moments of her life.