Pure Illusion is a dimension parallel to ours that is a prominent part of Flip Flapper's universe.
Instead of being a singular world, Pure Illusion is a collage of thousands of different pocket dimensions, each with their own "theme". As such, one can see scorching deserts made out with orange sand, dark forests under red skies, beautiful, fairy tale-like woods filled with defunct machinery, futuristic cities etc. within a few kilometers of each other during one's stay in Pure Illusion.
On a meta scale, Pure Illusion is an Umwelt, i.e. a personalized world as seen through the eyes of a sentient being. Specifically, Pure Illusion as we see it is a world edited to fit Cocona 's emotional states, feelings, etc., which are reflected in the environment of the dimension. The parallels between Pure Illusion and the Umwelt are referenced in the show, in which Cocona's rabbit is named after the psychologist Jakob von Uexküll, the main founder and propagator of the Umwelt theory.
No matter what pocket dimension one's in, Pure Illusion is filled with strange creatures called Amorphous. Said monsters contain a crystal inside of them, which grants magical powers to the magical girl that bonds with it. The crystals are, in reality, shattered pieces of a goddess. Flip Flap and Asclepius, despite being opposing organizations, both seek to collect all the Amorphous pieces in order to resurrect the goddess for their own purposes.