Purgatory is the temporary state in the afterlife. The soul of a person who has not been purified in their lifetime is sent here to do so.
There is also the view that purgatory can just be the state of mind felt by spirits that where neither truly good nor considerably evil either, living in the Spirit World, trying to learn some final license or purifying themselves by cleansing their conscience from the lingering guilt of some less elevated actions. In that sense it would be just a type of Internal Reality.