Mortal-kind lives in many regions of the planet, which in the local tongue (close enough to "common" though not actually a global common language) is called Al-Duniyyah, "that which is near" or "the place of examination." It contains at least two continent-sized land masses and at least one roughly-Pacific-sized ocean, the Sapphire Sea, though it has a lot more livable islands than the Pacific does (think the profusion of islands in The Seven Voyages of Sinbad.) On the eastern shore of the Sapphire Sea, you find the Tarrakhuna, the main region where the game is set, a semi-arid, arid, and desert land, but also a land of great magic and great opportunity for those willing to seek it. There are jungles to the north and temperate forests to the south, each with their own culture and history. On the far western shore of the Sapphire Sea, you find Yuxia, the Jade Home, a distant land of mystery and profit, though advancements in sailing technology and other things have only recently allowed truly regular trade between the two continents.
Overlaid on top of Al-Duniyyah--really, more of a "simultaneous" world rather than a parallel one--you have Al-Barzahk, the "Spirit World," which people properly trained can view via rituals of various kinds. The Spirit World retains a memory of past events, especially anything that has lasted a really long time or major, sudden upheavals, including large numbers of deaths. There are some differences between the types of spirits that tend to frequent the Spirit World and those that tend to frequent the material world. The former tend to be associated with the dead, or with abstract ideals and concepts (e.g. Owl, a sapient spirit representing the idea of being an owl and what skills and powers owls have, but much more intelligent and interactive.) The latter tend to be called "elementals" or arise naturally out of physical things and formations. There is some overlap between the two but generally those categories are pretty solid.
Parallel to Al-Duniyyah, there is Al-Akirah (which the people of Yuxia simply call "Akira," a curious and not yet explained similarity), the "other world." Al-Akirah has far denser, more potent elemental energies than Al-Duniyyah, to the degree that native life there can have active elemental manifestations (e.g. trees with leaves of fire or ice or smoke), and even relatively mundane plants grown there have significantly increased potency and magical utility. The equivalent of the Tarrakhuna is the genie "country" called Jinnistan, but it's really more a loose collection of city-states that all mutually recognize one another's authority and act as something of a cartel protecting Jinnistani export values. (The City of Brass is one of the many city-states of Jinnistan.) Yuxia also has a parallel, called Fusang, but few in the Tarrakhuna know anything about it.
"Beneath" Al-Duniyyah, in a physical sense, you find Al-Jahim, the "underworld," which should be taken very literally in this case, it's all the places that exist (sometimes somewhat tenuously) deep below the surface of the world. Natural laws sometimes become...less firm in these places, and strange Things from Outside can sometimes leak in. Fortunately, that sort of thing only happens very deep down, so even if you delve into the earth exploring a temple or whatever you rarely find issues of this type. The party has only once dealt with this stuff, delving into the deepest parts of the catacombs in their main city.
"Beneath" it in a more metaphysical sense, you find Ja'Hannam, "Hell" or "the Abyss." It's where fiends come from, and is generally a very unpleasant place. It's also very difficult to reach, and its residents are generally very unwelcoming of guests. Little is known in a verified academic sense about Hell, though somewhat more is known about its denizens (such research must be conducted carefully to avoid raising the ire of the Safiqi priesthood, but is not totally forbidden.)
The atmosphere and space above Al-Duniyyah are called Al-Jana, "the heavens." They are believed to be empty and devoid of life, as no magical or scientific examination has yet revealed evidence of any life outside of Al-Duniyyah. Likewise, no planes are even remotely accessible to magical effects other than Al-Akirah and Ja'Hannam, so this is where the official academic cosmology ends.
According to the Safiqi priesthood, there is one more plane: Jannah, "True Heaven," a place which is outside reality entirely. It's where souls go when they truly, permanently die, to meet with the One, the Great Architect, creator of all things and monotheistic deity of the Safiqi religion. Once a soul journeys to Jannah, it cannot come back; this explains why some souls cannot be resurrected and others can. No evidence has ever been found by Waziri mages that Jannah exists, but if it really is a one-way trip, no such evidence should exist, so this isn't necessarily much of a criticism.