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Its space full of memories of the past.
Saturated with memories you can't escape, so your mind will eventually drown in it. And you will be lost. Never to return.
There was one point where they discuss going to far in will result in a point where all directions and further inwards etc. which is very similar to theoretical ideas of getting close to/at a singularity in a black hole.
In the context of the game it is likely generated by dead memories and is also a metaphor for the main character's despair.
The answer is purposely ambiguous. Those that go through the pale suffer from exposure damage which affects their physiology (Joyce can't sleep) and may even implant memories (Paledriver lady). It affects physics drastically (absorbs radiowaves) but not enough that it can't be traversed. May explains why Tiago (crab man) is an ascended crackhead if he's been hanging around the hole for long enough.
The moralist quest ending you inform Coalition Archer about the hole and they swiftly abduct you for it in a classic secret government maneuver to keep dangerous things under a rug. It's such a world event in the setting which is "too big" for Harrier's Disco Elysium to explore, maybe another game or book will go into more technical details because traversal and side effects of doing so seems to have been well thought out.
or maybe a snapshot of the creator's mind? they say the Pale is increasing, but what if thats the opposite? what if its getting clearer with time? a fictional world created by the author, by the game dev team, the only parts of the world that are concrete and unique to it being placed here, and any blanks left are the places their world and ours have in common. but seeming out of place for the story, like a... plot hole, like a logical inconsistency? like the complete unravelling of reality? nonsensical by its very nature? sounds a lot like the Pale doesnt it? I dont know, thats the best explanation my mind could come up with, maybe its something more lovecraft and less meta, but for fictional characters, is there really a difference?
The Pale is a metaphor for entropy (heat death of the universe). I mean, the very study of it in the game is called "entroponetics" (i.e. entropy). I believe he's blending the metaphor with the concept of reality just breaking down. Everything mixing together... getting lost. Not entirely, things still exists, but theres no form anymore. Everything has just become everything. Even conceptually. It's quite an alien concept / phenomena to simulate mentally, so I wouldn't try too hard. It's supposed to be confusing; it's the breakdown of meaning itself.