Ginnungagap says that "locations cannot leave this region." Could you please clarify what that means exactly?

Not quite. There is no limitation to targeting the locations in Ginnungagap. It's just that they are unnaffected by anything that would remove them from Ginnungagap. You can target them with location destruction, but they are not destroyed.

It's also important to note that no location in Ginnugagap is a valid target for an effect that removes a location from this region. So if Ginnungagap holds the only locations in play and a card you are attempting to play requires a location to be destroyed, then that card cannot be played. The only exception to this would be Scordite. That is explained elsewhere, but briefly, Scordite can sacrifice itself if there are no other valid targets, which you would then pay 1 ISK for and it ends up in Ginnungagap anywhays.