Limbo is the place where the Demons and Angels eternally battle. Souls who do not pass on to their god's domain, to heaven, to hell, or are not reincarnated are sent here to forever walk its wastes.
Someone who once owned the Bag of Holding traveled to Limbo and created a Temple to house the bag. He placed a guardian inside. No one knows who he was, why he did this, or what happened to him.
The party traveled to this temple and defeated its guardian to obtain the Bag of Holding, but in the process the temple was destroyed.
Death from Above
With the temple destroyed the party had no way to back to their world, since The Key needs a keyhole to be used. The tried to spend the night in the ruins of the temple but a thunderstorm began rolling in. But it was in fact not a thunderstorm. The light they saw, was the light of a thousand Angels taking it on the chin. The thunder was the sound of a thousand Demons raging, and soon bodies began falling out of the sky all around them. They were the bodies of those dying in the battle above them. After running from pursuers, dodging falling corpses, and being saved by Angels a few times, they found a tree and hid underneath it. All night the battle raged around them, in the skies and on the ground. They survived all night, on high alert until the battle past them in the morning.
The awful sounds the Demons made during the battle.
Saved by Those They Saved
Saving a dying Angel, the Angel told them where they could find an abandoned town that had doors with keyholes in them. On their way to the town they happened upon another Angel and saved him. When they got to the town they saw Demons hanging Angels from rooftops. The Angels they saved distracted the Demons long enough for the party to sprint to the town and get through a door.