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SPOILERS for GS Sample Chapters below! ]
Wasn't Chicagatory in the NN, though? Agatha Hagglethorn was material in the Nevernever, so I think it's entirely possible.
It seemed to me that the point of Chicagatory was that you could never know for certain where it was in the grand scheme of things. That's why Carmichael talked about all of those betweens. Maybe it was in some far region of the Nevernever; maybe it was somewhere else, held apart from Heaven, Earth, and the Nevernever. I think we have to take Harry's guesses about every type of afterlife being within the Nevernever with a grain of salt. He may be right, but then again, he may not.
Either way, though, he seemed pretty solid in Chicagatory. It was only after he supposedly returned to Earth that he started walking through solid objects.
