Granted, there may not be much room in the film for Dorothy to have physically
gone to Oz. However, the way the image splits in two after Dorothy gets hit on the head (around the 2:00 mark of this video
), in my "head canon", I've always interpreted that as physical reality going one way and Dorothy's true inner reality going another.
.... Aaaaaand CorporalCaptain
wins the BBS for the day.