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The Graveyard was a mysterious dream location tied to the nature of Jenny Everywhere.
Mental avatars of various incarnations of Jenny Everywhere would find themselves transported to the Graveyard when one of them died (with their bodies falling asleep in the meantime). With one of them taking charge, the Jennies would perform a funeral for the incarnation of them who had died, burying her memories. The Jennies did not usually remember the funeral after waking up, though they would feel a sense of loss which they couldn't quite place. (COMIC: The Death of Jenny Everywhere)
Behind the scenes
As the Graveyard predates the introduction of the similar, but less morbid, Infinite, Ms Everywhere states in The Death of Jenny Everywhere that the Graveyard is the only place the various Shifters ever meet, an idea abandoned by most later multi-Jenny stories.