User blog comment:Zack Tan/Ainz's Possible Future Plans/@comment-26932361-20150913044319/@comment-26501532-20150914160905

Well, there are some fan theories that the game YGGDRASIL, is merging and thus causing a change in the New World. As some people using hints such as PDL saying that the New World is getting more and more corrupted (more game like?) every time YGGDRASIL players got transported and original New World's magic became more and more different maybe due to the change caused by YGGDRASIL. Thus, there are theories that if the New World is becoming more and more like YGGDRASIL, then some of YGGDRASIL's feature may came into the New World too, such as the nine worlds or even monsters from there, taking that the treant  Zy'tl Q'ae also came out of nowhere from the game.

Also, it is not mentioned that the nine worlds are just regions in the game, but was given a description by Ainz in vol 3 as worlds. Even if it is said to be just regions in the game, it may not be so in the new world since a lot of things are also different in comparison from game and new world in terms of scale, thing become reality, NPC became alive, magic is less restricted, more freedom, etc.

Well in the end, it's just possible potential direction for the story to develop even more. If it is possible, it will be very interesting.