The Skull Egg Zone is a dimension crafted by the combined efforts of Doctor Eggman and Doctor Wily using Chaos Energy. It bends the rules of time and space, as hours in the Skull Egg Zone are barely seconds in Mega Man's and Sonic's worlds.
After Doctor Wily accidentally pirated Doctor Eggman's signal, resulting in their meeting, the two doctors decided to meet in person. Using Chaos Energy, they created a new dimension in which they could meet. Upon entering the zone, Eggman and Wily congratulated each other on their efforts, but each had his own name for the new zone. Wily wanted to call it "Skull Secret Zone" and Eggman wanted to call it "Egg Pocket Zone", but after a brief discussion, they compromised, naming it the "Skull Egg Zone". The two doctors constructed the Wily Egg in this zone, where they could work without fear of limitation or interference. (MM: #24)