The Underworld is a term for various afterlives in different religious beliefs.
It is called so generally because of the belief that these afterlives exist under the earth. There are others that put "good" afterlives in the heavens or above the earth.
At least for the sake of Hades, the term Underworld, appears to denote that Hades is physically located under the earth, below the surface of Gloriana. It is said that all the rivers of the earth flow into Hades. It is possible that there are gates into the Underworld near every river.
The Underworld is also a region within Hades, at its entrance. The Underworld is a place of death, and few that live return to speak of its darkness. Cerberus guards the Gates of the Underworld. Passing through the Underworld leads to the very center of the Abyss.
Behind the scenesEdit
There are other uses of the term underworld however, Ferrari runs a 'criminal underworld' for example.
The Pit Horror is said to be a slimy tentacle beast from the depths of the 'underworld' which would suggest that abominations and chernovy or at least the dark ones who mutate them Dark One realm is also an underworld. Of course literally speaking the Pit Horror originates from underground.