The Outer Darkness is outside of space and time. It's a place beyond the grace of God, where there is a weeping and gnashing of teeth.
It is potential existence, where all things are possible. The "gnashing of teeth" is a reference to the creatures "live" there. They're usually there because don't have a right to exist, like horrors and other unnamed.
Ungoliant is there.
The Face of the Deep is there.
The Outer Darkness is near the Void.