Legendz Kingdom is a place which exists in a different dimension from where the Sagas and their Legendz are before. It served as a battlefield for the Legendz War, where Shiron summoned the Four Great King Dragons to help battle Jabberwock.
The reason for Shiron moving the Legendz War to the Legendz Kingdom is that if it takes place on the Earth which has already been hurt, it'll only injure the Earth further, which will result in the disappearance of everything on the Earth slowly. For example, the buildings in New York that vanished during the Legendz War.
Little is known about the Legendz Kingdom, except that it consists of a plain and some rock pillars. Its exact location is also not known, although from several points when looking up to the sky, the city of New York can be seen as though looking down at the city from the sky.
The Legendz Kingdom does not appear in the manga.