So far, the known Namesakes and their “worlds” are: Alice (Alice in Wonderland), Jack (Jack and the Beanstalk), Wendy (Peter Pan), and Dorothy (The Wizard of Oz). What do all these characters do in their respective stories? They're people from the “normal” world who go to far-away lands and change things while they're there. Hence the premise of the comic.
When telling the story of the Dorothies they say that they "never age but always die" and in the monument to the Dorothies, we see a ton a skeletons this could be taken to mean that almost all of the Dorothies since the original have died in Oz...which is to say that they never went home.