Surrounding Tyria is a plane called the Mists. It's said to be what connects the multiverse together, that each world floats within the Mists like islands.

There are many realms within it, but minions are said to come from a part of the Underworld called the Bone Pits, which is full of the remains of those unlucky mortals that tried to travel into the Underworld and met their deaths there. It could be only an ominous story, of course, but given how pieced-together our minions look I'm inclined to think there's some truth to it.