"Oh, right, you guys are unconnected. So annoying. So I said before that you two were what we'd call mono, right? Mono are things without souls. But you two aren't quite without souls. You've got enough of a soul to still have a proper form and such. So we call you mayflies. Before you were mono, you where what we'd call a whole. That's basically a person who possesses both a body and soul. You've also got chroma, who are pretty much demons or youkai or what-have-you. They don't exactly have bodies, but they do have form. Gumiho, whom you've just met, is a chroma. There are some other things too, but they're pretty rare.
Magic Queen is the ruler of this world, sort of. The position is somewhere between her and Baabaa, at least. She's pretty much just a witch.
As for getting home, that would probably take an ancient artifact or something. And your soul. Having your soul has to help. It's hard to live on an unconnected world without a soul. Probably."