Tolkien seemed to use the term "Void" in a number of ways, but generally it seemed to describe the uninhabited regions of the universe - the parts of creation outside the world. However, the Timeless Halls of Ilúvatar, which were described as being outside of the world, also seem to be separate from the Void.

The Void seems to be outside of Arda - but not necessarily outside of Eä. It remained possible for the Ainur to exist in the Void, as Morgoth was sentenced there at the end of the War of Wrath.