The HHgregg dimension itself is like a huge bubble with probably hundreds of smaller bubbles inside of it, separated by a deep void and connected by metaphorical 'thread'. Each bubble is a definitive place, like the Wendy's or New Exton, Australia. The bubbles tend to be smaller (New Exton is an example of a bigger one, though) which is why when someone reaches too far in each place, they hit a sort of brick wall and, if they can somehow (it's nearly impossible though) force themselves through the wall, they are greeted by a never-ending void.
The bubbles/sub-dimensions are usually self-healing. If there's major destruction to the structures in the sub-dimension, it can simply repair itself and build those structures back up from within 10 minutes to a few days. This is why Wendy's being nuked or hhgregg getting burnt down is mostly just an annoyance or inconvenience. Sometimes someone like a major deity can step in to speed the process up, but that's usually unneeded.
As said before, each bubble has a sort of 'thread' connecting each. It sort of looks like nervous tissue or loose connective tissue when put under a microscope, with the cell body/nuclei being the bubbles and the limb like parts being the thread. However when someone learns to manipulate and to tread along the thread, they can use it to traverse between each bubble. Some people have unlimited access to each place and can teleport from one place to another without needing a direct path, though that tends to be the deities and higher level entities (e.g. HAMMY, Cookie Man, Joker (P2)), most people only have a certain range they can travel or can only use direct paths (e.g. Akechi, Sephiroth), and some just can't figure out how to separate the thread from the void. It takes practice though, and theoretically everyone should be able to do at least the bare minimum.
Loose connective tissue, btw
Some sub-dimensions are heavily connected to others while some hardly have any connections. The subdimension containing the hhgregg itself is connected to nearly EVERY sub-dimension meanwhile the Best Buy is really only connected to the hhgregg, McYaois, and Wendy's. It depends on how active the dimensions tend to be. Hhgregg can create new pathways or sever them at will, though sometimes paths between subdimensions are created on their own.
The path to get to HHgregg from other dimensions is an easy line to cross for anyone who finds the path, purposefully or accidentally. However, the same can't be said for the path leading from HHgregg to anywhere else, which is why it's supposedly impossible to get out of HHgregg once you're in. The from-HHgregg path is faint, wobbly, slippery, hard to grasp. The only thing that can really travel across there as far as people know is communication (and Nyarlathotep, but people don't know much about him). Only the gods can find the line at all, and none of them can quite get a grip on it to straighten it out or send others/themselves. However, their lack of effort is out of a feeling of pointlessness. Most of everyone is content staying in this dimension and believing (Hhgregg) that everyone else is/will be too, so its never investigated further than just figuring out a way out possibly exists.