As I still have a plan to put together "Adventures in Oz: Beyond the Deadly Desert", I must pose the question: Why did L. Frank Baum go beyond the Deadly Desert in his Oz stories? Why didn't he just set all of his action there?
I think the answer is: Because it wouldn't have been realistic. Part of the charm of Baum's writing is that there is a level of realism (or more accurately, verisimilitude) along with the fantasy. And despite the Oz fandom's love of tornadoes as plot devices, notice that Baum only used it once. Because to use it more than once would be to stretch credulity just a little too much. Do it three times and you've completely battered any suspension of disbelief into the ground.
In fact, Baum's first Oz sequel, The Land of Oz, doesn't even include Dorothy. This is probably because he thought that bringing Dorothy back to Oz would have been hard to do believably. And when he did bring her back in Ozma of Oz, she doesn't return to Oz, but finds herself in the neighboring land of Ev. Because he had already established that Oz is surrounded by desert and to use a shipwreck to bring Dorothy directly to Oz would have been a cheat.
Then, in The Road to Oz, Baum introduces his Oz readers to a number of characters from his other stories, functionally tying those non-Oz stories into Oz lore. This process becomes complete with Scarecrow of Oz bringing Trot and Cap'n Bill to Oz. So now we've got lots of interconnected material to draw from that happens outside the borders of Oz itself.