In my campaign world that draws from monotheistic imagery, Heaven, Hell, and Purgatory are indeed physical places connected to the Earth that one can travel to (the model is largely taken from Paradise Lost, with The Divine Comedy making up the middle ground).
Heck, all Dante had to do to get into hell was to get lost in a forest, and BAM, there was Hell.
The concept of heaven being up and hell being down is tied to a LOT of things, but one of those things is volcanic activity (fire, brimstone, lava, poison gas, all that) and weather and celestial activity (rains, fertility, the sun, moon, and stars moving according to fixed patterns, etc.). If you're an agricultural society, especially around the active tectonics in the Mediterranean, you know well that bad stuff comes from deep underground, chaotically, and good stuff comes from the sky, lawfully.