It is a nearby cave where pirates were said to hide their treasures. In front of it, the Occulta Ship was said to sank. And even though the ship had sunken, the pirates hid their treasures in the cave.
In "Mystery of Calavera", the girls arrive at the Wise Woman's hut, who tells them of how a pirate ship, the Occulta, had sunk near Bajo Mundo many years ago. Even after the pirates died and became zombies, they never left the ship and moved the treasure somewhere else, where they've guarded it since. The place was underwater near where the old lighthouse stood. She then warns that once the fog rolls in, so does the Occulta and its pirates. Then, they enter the cave and come up in an underwater cavern. Bloom and the others summon forth their Mythix Wands, which begin to react to the place. Daphne then reminds them what Eldora said earlier, that the Fantasy Emerald can be found in the Legendarium World. Later, the Winx transform into Mythix and enter the Legendarium World.