This is left intentionally vague for the storyteller to best interpret as the story requires. And taking every intepretation across a chronicle would certainly not be out of place for a game of W:tO.
As a rule of thumb though you can think of the Shadowlands part of the underworld as the analogue to Earth merely superimposed and twisted over it where space makes sense in a 3d manner, with occasional warping around sites of destruction, the necropoli/cities, and most dramatically, nihils. You can play an entire chronicle in just the Shadowlands.
Transitioning into the Tempest and the dark kingdoms however warps things.
At every train station in the western Shadowlands for example, at the stroke of midnight, the midnight express pulls into every station and it leaves every station to invariably arrive in Stygia as one train. Travelling through the by-ways or safe paths through the tempest to arrive. A few of these ways are stable and are controlled by the dark kingdoms which they use to exert their influence on the shadowlands, claiming territory for reaping and other purposes, others need to be fought through by talented Harbingers, wraith who wield the Argo arcanoi.
The transition from one to the other is very maleable, if the shadowlands is a layer superimposed over Earth it might be helpful to think of the tempest and the dark kingdoms as another layer superimposed over the shadowlands just with more brutal, open connections and a less direct, more stretched mapping of space and time. It gets weird at this transition.
The tempest is pretty vague, which is appropriate for something supposed to cause abject horror. In some places it's referred to as a bottomless stormfront in others a great turbulent ocean. Apart from Argo practitioners though, wraiths who find themselves exposed to the tempest will invariably end up falling through to the labyrinth, and maybe even oblivion. The only stable "Islands" being the dark kingdoms fortresses and the far shores, the later of which few can safely reach.
Artistic renditions of the World of Darkness cosmology are few and far between. There was a french user who released a map a year ago which the community seems to believe if nothing else, gives it a good try. The Redditor U/Diceplayer translated it into English and discussion can be found here it includes the "places" found within Wraith the Oblivion in the lower half: