Z
Z asked Brandon Sanderson:

Do all your books take place in the same world or if they don't how do characters/objects travel between worlds e.g Nightblood, Zahel/Vasher??

Brandon Sanderson They are on different worlds, but in the same universe. There are clues throughout (starting in Elantris) about how people jump between planets. It will be more clear in the future, but you might want to google the "cosmere" and read what people have theorized so far.
Brandon Sanderson
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