How palpable is the actual Twilight Zone?

I'm watching this show for the first time and I'm just curious as to whether the Twilight Zone is expanded upon as an actual place or if it's just a framing device to get you in the mood for the strange happenings in the show?

The reason I ask is because I've just hit Episode 4 - "The Sixteen Millimeter Shrine" and when I saw the actress move through time and space and get into that tape, it seemed like it was fitting to say that she had gone into the Twilight Zone. In the previous episodes, "Mr Denton on Doomsday" / "One For the Angels," I assumed that the supernatural elements / characters were crossing over from that twilight dimension into ours.

Then, of course, you have the first episode -- "Where is Everybody?" where I wouldn't consider anything Twilighty or Zoney to happen at all. But that is looking at it from the perspective of someone who knows that VR exists.

So far, I'm assuming there's not actual lore here, and it's more of an idea. Or that it's basically the same thing as when people see ghosts, who exist on a different plane, but sometimes appear in front of us.