It's more like a multiverse thing? Where the multiverse is real, and whoever or whatever the Entity is, he/she/it/they/other is powerful enough to punch holes from one reality to the next and drag people here. Or maybe it's more like copies of people here. Transdimensional travel is not my area of expertise.
Also, this is more like Kind Of New York or Manhattan Lite than anyone's version of New York in their home realities. Still, a lot of the same landmarks exist! So you can still get some sight seeing in! :D