There's passages between this world and another one, across the universe and on the other side of Time. Whether Dave realizes it or not, Time is his Aspect, and that means he has access to things that other people don't. Like the caverns between realities, where Time doesn't sit still and everything isn't exactly how it should be. It's a place that he can use to escape, somewhere he can go to think, where nobody else can find him. But Dave isn't the only being across the multiverses who is connected with Time, and he's not the only one who wants a place to hide from the real world.