For the novels' characters, Thornvaal exists at three levels.
Actual Thornvaal is a 100 acre campground/old farm in Colrain, Massachusetts that houses the fantasy roleplaying game business the characters founded just out of high school. They also live on site and throw elaborate, theatrical live action roleplaying (LARP) events there.
Imaginary Thornvaal is the psuedo-medieval fantasy world developed by Helen, the series's protagonist. While at a surface level, it's another Tolkien rip-off, Helen's fervent intersectional feminism informs the politics of imaginary Thornvaal in a way that gives it just enough difference to make it stand out, granting her a modicum of national success. Helen sets her pulp fantasy series and all the LARP events in imaginary Thornvaal.
Virtual Thornvaal is an online community run by Helen's twin brother, Louis, who's a master manipulator and computer nerd extraordinaire. The site is a one-stop paradise for Thornvaal discussion boards, fan fiction, online adventures, information about the business, and gossip about Thornvaal personalities. The intensity of the celebrity culture Louis has created around Helen generates a lot of income and interest in Thornvaal.