Is it in the same world? An alternate world? Or just in the mind?
If I remember rightly, Thomas came to the glade using an upward lift. And he returned to the real world by way of the Cliff hole portal and then through a long tunnel chute.
It's really weird to think about, but the third book mentioned it was under the WICKED compound, in the bedrock. Which means it is in the real world. I think the upward lift was located in that room where (SPOILER) Chuck was killed which explains where the lift came from and then they ran up a lot of stairs. And I'm pretty positive the griever hole wasn't a portal, they just manipulated the gladers mind to make it look like it wasn't there, just like every other crazy thing that happened.
I think that the Maze was in the real world, but also in their minds almost. I thought that they were really all in a giant gray room, but the Maze was being projected(used in the lack of a better word) almost through their minds. So they were seeing the Maze while WICKED was watching them react in the gray room if that makes any sense to any one else.
So... I read through to the end of the trilogy and found out that yes, it's located under the WICKED compound. But I still have a hard time believing WICKED would build a maze that massive just to analyze mind patterns. Imagine the infrastructure involved: making those movable stone walls, providing artificial lighting that can thrive crop and forest, etc. I suppose there's some mind manipulation involved also.
I think that it was a physical place underneath the compound however a lot of special effects were used to fool their minds so that WICKED could analyze the test subjects brain patterns. I
If I remember rightly, Thomas came to the glade using an upward lift. And he returned to the real world by way of the Cliff hole portal and then through a long tunnel chute.