The Mind Of A Madman (The Elder Scrolls 5: Skyrim)

The issue I'm addressing the knower of the lore of the universe. As you know, during the passage of the quest a Crazy mind, our friend the lover of cheese, we find ourselves in the so-called broken mind Pelagia. I don't quite understand where exactly is this place... In Aetherius or oblivion? And exactly where. I just wondered how many times a game Dragonborn visits the Oblivion...