Note: This theme unifies after the Telltale Game 'The Wolf Among Us' but previous to the events of the Fables comic series. Background information taken from the comics is treated as canon however.
The world of Fables is a multiverse in itself. Hundreds of worlds, linked by magical gates but largely autonomous with little interaction between one another. The worlds of the European Fables -- stories made famous by Andersen or the Brothers Grimm -- existed mostly apart from the Arabian worlds of Sinbad, Ali Baba and Aladdin.
Until the Adversary came. With his armies of goblins, trolls, homunculi and other dark creatures, he began to conquer the Homeland worlds, one by one. When Oz fell, no one really paid much mind -- it was always an odd little land where rulership changed hand with the direction of the wind anyway. When the land of The Lion fell, that was a bit more concerning, but honestly, he was always a bit too preachy for most, anyway. And so the conquest continued, until the Adversary's Empire was too great to oppose, and the remaining Fables fought and died, and eventually fled to the mundane world. A world without magic, the only world that the Adversary seemed to have little interest in.
They have lived here for hundreds of years, in secret, never daring to reveal their magical nature to the 'mundy' inhabitants for fear of further persecution, or to draw the baleful eye of the Adversary. They are scattered throughout the world, but the largest single community is Fabletown, founded as a New World colony and eventually absorbed quietly by the expansion of New York City. It exists as a neighborhood of a few blocks within a sea of mundanity, powerfully enchanted to be completely uninteresting to the human population.
Even these enchantments have limits though, and Fables who are distinctly non-human in appearance must either use personal enchantments called glamours to pass as human, or live instead on the Farm, Fabletown's sprawling upstate annex.
Upon Unification, the Fabletown leadership scrambled to conceal the warp gates that appeared in Central Park and in the cave system to the north of the Farm, fearing contamination of otherworldly influence into the relative safety of their asylum world. Thus far, the mundane inhabitants of that world are unaware of the multiverse, and the Fables want to keep it that way.