Well that's where it kind of gets tricky the Desert is out of the Jurisdiction of Etheria. Whereas all the other lands hold feality to Etheria in some ways.
But all of those lands are part of Eldritch.
There may even be two definitions of Eldritch going on, the kingdom/realm and the universe but this is unclear (although its hinted at even in the Companion). Just in the same way that Realm of Daventry is another name for Kingdom of Daventry, but not the entire world of Daventry.
I also have a hard time believing that when they were worried about the Volcano that it would have destroyed every part of the world of Eldritch. It would have at least caused trouble for the Land of the Clouds, Etheria, which is directly above it, plus all the areas extending to the ancient ruins in the northern part of the Desert (the Kangeroo Rat was worried), and most of the lands in Etheria's jurisdiction. Get far enough south and I doubt it would have caused much problem at all. It might not have even bothered the Vulcanix Underground much. Some of the people in Ooga Booga weren't worried to much (they are already dead).
I also don't think Malicia was suicidal, she just wanted to destroy the kingdom, so she could then take over, and rebuild it as her own.
On a related note King Graham's cut comment in the game files also touches on the fact that Etheria was in an alternate universe. From his perspective they had only been missing about 15 minutes of Daventry time, whereas they were in Etheria for at least a day or two. Time runs differently between both worlds (similar to the difference between Narnia and Earth).
I must find the pond that leads to Daventry!
Be warned that apparently the paths to Daventry are one way

. Once you go there, there is no way back. There are also different ways to "withdrawal" to the world. Most require magic of some sort. You could partially visit it through dreams

.
For anyone wanting more information of the realm of Daventry and the maps chronicling changes due to magical flux, check out;
http://kingsquest.wikia.com/wiki/DaventryThere was never a map for the world of Eldritch unfortunately (unless there is one in the official KQ7 Authorized guide).
Also depending on which backstory you follow Daventry is either Earth in the distant past or parallel to the "Other World" (Earth). The games pretty much strictly followed the whole earth in the distant past storyline, the companion followed the alternate universe storyline. of course both could be true if time travel is involved :p...
http://kingsquest.wikia.com/wiki/On_the_Origin_of_Daventryhttp://kingsquest.wikia.com/wiki/Multiversehttp://kingsquest.wikia.com/wiki/Earthhttp://kingsquest.wikia.com/wiki/Other_Worldhttp://kingsquest.wikia.com/wiki/Jupiterhttp://kingsquest.wikia.com/wiki/Withdrawal