Having an alternate dimension where The OA exists as a piece of entertainment is mind-blowing, and most people would assume that its this very dimension.
For instance, Jason Isaacs and Brit Marling are married in the final season of Season 2, while in real-life they are not.
Finally, the sound stage is in England, while The OA films in the states.
But there are a few details from the ending that hint it’s yet another dimension.