Cleveland is a major city in the state of Ohio in the United States, that Cosmo and Wanda and Poof got there when a tornado got them.
Cosmo, Wanda, and Poof (later joined by Timmy) fall here due to a tornado. It's portrayed as very poor and filled with crime and destruction. Despite that, Cosmo sees it as a wonderful paradise and wants to find the Wizard of Cod to asks him where their wands are. There are also hobos and crime scenes everywhere. Cosmo says he took his Dorothy attire from a sleeping boy, or at least he thought he was sleeping.