The premise is that all of the fantasies you know -- from ancient myths to recent novels -- are actually true descriptions of other universes that are just as real as ours but subject to different rules of logic. Thus, fiction authors are not really as creative as you might think. They simply can see into another universe, though they may not recognize this is what they are doing. Also, many people you might think are "crazy" actually have the ability to see these alternate realities. This is how the psychologists in the story (yes, they are not physicists or mathematicians!) initially discover the truth.

The psychologists in the story realize that it is possible to travel to these other universes by reciting the formal structure (e.g. "If P equals not-Q, Q implies not-P, which is equivalent to saying either P or Q but not both. But if not-P is not implied by not-Q...") In addition, in this story there is a brief discussion of the geometry which supposedly underlies all of this (extra dimensions, curved vectors, etc).

None of that makes too much sense, but it serves as an excuse for writing about people from our universe who are able to meet the ancient Norse gods and visit Dorothy Gale (now married and middle-aged) at her house in Oz. This has proved to be a winning formula that has been utilized by de Camp and Pratt and a few other authors who have been allowed to borrow the characters all the way into the 1990s.

The original "Harold Shea" story "The Roaring Trumpet" was published in Unknown, May 1940 and this sequel appeared in October 1940. (The title of the magazine in which they appeared can be a bit confusing, which may be why it is no longer around. It seems like a good set-up for a "who's on first?" routine. "What magazine was The Roaring Trumpet published in? " "Unknown." "Does anyone know the name of the magazine?" "Yes, I know!" "What is it?" "Unknown!"....)

For more information, check out the Wikipedia entry on Harold Shea.