The Territories are a strange fantasy land which is set in a universe parallel to that of Jack Sawyer's America.
Calvin Tower mentions The Territories (as in, Brooklyn?) while he's negotiating with Jake for the Charlie the Choo-Choo book.
“Seven bucks and it’s yours. Plus tax, of course. The riddle book you can have for free. Consider it my gift to a boy wise enough to saddle up and light out for the territories on the last real day of spring.”
- Book 1 / Part II / Chapter 13
When Paul and the gang are bringing John Coffey back to the prison after healing Melinda, Paul is surprised to see that John hasn't made a break for it and says he thought he would have lit out for the Territories (a reference to the parallel universe of Jack Sawyer).
I thought that he would be gone, that he’d spat out the bugs as soon as he saw he was unguarded, and had then just lit out for the Territories.
- Part Five / Chapter 7