The World of Zero (零の世界 Zero no sekai) appears in The Legend of Heroes: Zero/Ao duology. It is a part of KeA, a girl found by Lloyd Bannings at the time of the Schwarze Auktion.
The time after Lloyd Bannings attempt to save KeA, he mystically ends up in the World of Zero. A while after adventuring inside of it, he encounters his deceased brother—however, his brother, Guy Bannings, is alive in this world. After this encounter, Guy informs Lloyd what the purpose of the World of Zero is. Guy then answers Lloyd's question as to why he is in this world, telling him that KeA is thinking about bringing him back to life for Lloyd himself and Guy's fiancee, Cecile Neues.
Lloyd knowing that this would make him happy, adds that it would contradict and deny those who were upset with his death and that for the greater good, it be best that he is not resurrected. Guys agrees to this and is relieved by Lloyd's growth, making him proud and assuring him there is nothing to worry about. He also warns Lloyd that there will be "obstacles" to overcome as long as he lives, he waves his brother farewell and he disappears into the light.
Not long after, Lloyd returns to his normal world.