To keep it short and sweet darling, you're in a place called Vatheon. It's a giant bubble under the ocean and it's attached to an island above the water so that you can occasionally go up for some real sun and fresh ocean air.

You were brought here by the coral just like the rest of us. Unless the coral sees fit, you're not going home. People do leave and come back sometimes, but their memories of this place are anywhere from hazy to not remembering it.