Balance of Magic
There are places where the Veil is weak and allows passage between worlds. The mechanism by which travel is accomplished is poorly understood: one is simply here and then one is there. Nonetheless, settlements have grown around these weak spots where inhabitants can exist in two worlds simultaneously.
Although most border towns are constructed at ground level like regular cities, not all thin spots in the Veil are on the surface of the earth. Some are at sea or high in the air and are frequented by sailors and air-captains. Presumably some may exist underground or underwater, although no such spots have been recorded (and verification would be difficult).