The "Great Beyond" is a plane or set of planes apparently inaccessible to humans (though stories to the contrary, as always, persist). The Great Beyond is assumed to be the home of the Greater Gods as well as the souls of mortals who join them after death (including those who vanish from the Road to Nowhere). The very existence of the Great Beyond is disputed among scholars - the only proof that it exists at all (beyond religious writings on the subject) is that the souls of mortals following one of the Greater Gods who die and are subsequently resurrected must obviously have gone somewhere - but while those who have visited the realms of the Lesser Gods after death and come back sometimes retain fragmentary memories of the experience, those who have visited the Great Beyond never remember anything at all.
The name "The Great Beyond" comes from religious writings of the faith of Thenos, according to which the Great Beyond is the home of Thenos, his loyal celestial servants, and the final destination of all mortal souls. According to Thenaran doctrine, there is no transformation from Lesser God to Greater God - all the other "gods" are merely wayward archangels of Thenares, and those who see the error of their ways move back to the side of Thenos in the Great Beyond and thus become inaccessible to mortals.