Purgatory

Purgatory is the space between the living world and the afterlife.

Background
According to Merlin, the Purgatory is a place of chaos where mutilated souls and predatory monsters seek prey, how there's scorching heat, blistering cold and toxic air that destroys the flesh of the living and how time and space are warped, saying that a minute corresponds to a year in there.

At some point after the Holy War, the Demon King was imprisoned in the Purgatory.

The only being who enter the Purgatory and returns was Merlin's Father. After a single minute in this dimension Merlin's father returned back looking as an old, invalid person.

Plot
After his defeat by the Ten Commandments Meliodas does not move on to the Capital of the Dead but to Purgatory, instead. There, he confronts the shadowy remnants of the Demon King while waiting for his revival.

When Merlin discovers that Hawk was connected to Purgatory and that the Demon King had been observing them through Hawk's eyes, Diane suggest that they can go to Purgatory through Hawk in order to recover Meliodas's emotions that have been stolen by the Demon King. However, Merlin reveals that this would be an impossible task for them, but Ban affirms that he could make it since he is Immortal. Skeptical, Merlin uses an enchantment to send Ban to Purgatory.