This is the many-worlds interpretation of quantum mechanics, correct? It's just one of several interpretations of what the mathematics of quantum mechanics means. All the interpretations give the same results for experimental tests, so there's no need to require extra universes.

Even if you like this interpretation (I admit I happen to like it), I'm not sure it even makes sense to ask what's in between the universes. We'd have to be able to experimentally probe the region in between universes to come up with any useful theory, which can't be done. We'd also be using the concept of geometry, which comes from observing how things behave within our universe, and expect it to apply to regions outside our universe. In fact, even saying "outside the universe" is problematic, since to be outside something implies that there is geometry outside of the universe!