as the title says what is the labyrinth in terms of celestial bodies? Is it a full on planet or is it more of a flat earth type of thing?

I would say it's likely to be a pocket dimension of sorts. If anything it has impossible spacial structures, so chances are it's nothing like we would have in reality, considering how it bends the rules we know.

my theory is, everything you see is real. The desert, the valley, all of it physically exists in our dimension. 

On another planet, thousands of lightyears away. Think about it. The sky, the environment, the lifeforms, what do game developers do when they want to keep the player from seeing something? They slap it in a place they assumed you’d never reach. Like, perhaps, a distant but habitable desert world they can create monsters to live on. Now they can fine tune the planet itself to their needs. The gods simply used a game developers tactic on real people.