When asked about fantasy worlds, many people throw out Narnia, Neverland, Oz, Middle-earth, Discworld and the Wizarding World of Harry Potter. However, that's not exactly the case. Tolkien intended Middle-earth to be part of our actual earth, but in a forgotten period of history. And in the case of Harry Potter, the Wizarding World is part of our world, but it's been hidden away.
Arguably, a fantasy world doesn't necessarily mean it needs to be in a place outside of Earth. Simply, it is a restricted area where fantasy can take place. A prime example is Middle-earth: aside from it being a work of fiction, you can't get to Middle-earth because it no longer exists. All the places and people are long gone.
An example that does get thrown out is Wonderland, but I consider this inappropriate as I maintain that Wonderland was never anything more than Alice's dream. Thus, it may count as a world only for the fact that it is entirely cut off from anyone getting to it: it never existed except for one person's subconsciousness.
An example somewhat closer to Oz is in Harry Potter's Wizarding World. The existence is known to only a few trusted non-magical people, and their access to the lands of magic seems to be limited. This is similar to Neverland and Narnia: some can go there, but not everyone.
This brings us to Baum's Land of Oz and its Surrounding Countries. What makes it unique is that anyone can go to Oz or the outlying lands through a number of methods, a barrier of invisibility simply keeping these places from being discovered.
Some argue or present Oz as not being on Earth or being moved to another dimension. I find these contrary to Baum's clear intentions, particularly as non-trans-dimensional means of travel are used to reach Oz after the barrier has been set up.
It is certainly odd about the Barrier of Invisibility. While Baum refers to it in The Patchwork Girl of Oz and it seems more complicated magic is needed to send people through it in Tik-Tok of Oz. Furthermore, it cannot simply just protect the Land of Oz, otherwise the other lands would be quickly discovered, and with the later introduction of satellite photography, this would result in a "hole" in a continent. No, surely Glinda had to have extended it to cover outlying lands, including Ozamaland, which was said to be a large continent.
Jack Snow, though, seems to have had the idea that Oz itself is yet protected by the Barrier (perhaps a secondary one) in The Shaggy Man of Oz, which creates an obstacle for the main characters, albeit a minor one.
This brings an issue that's come up, given the longevity of the Oz series and related works: the aging enchantment. Supposedly, it affects many people in the Surrounding Countries as well. It seems the Valley of Mo has never been affected by this, as the Monarch of Mo has always been the Monarch. In some recent Oz stories, Bud and Fluff from Queen Zixi of Ix appear, not too much older than their appearances in their debut book, despite that book telling us how they grew up. (I maintain Baum added that to package it as a fairy tale on its own, same case with the ending of John Dough and the Cherub.)
However, proximity to Oz seems to be a major part of the aging enchantment: while some islands—like Pingaree—seem to be affected by it, the second volume of The Royal Explorers of Oz reveal that Ozamaland must be too far away, though there are other ways to keep oneself alive for a long time.
But back to the main point, Oz is different from other fantasy worlds: it is not exclusive or entirely cut off. Thus, it is a fantasy world only in that is only partly cut off from the rest of the world.
I guess you didn't really follow through there, Glinda, but it seems to have worked well enough...