The Tiny Galaxy is a galaxy filled with tiny solar systems, and those tiny solar systems are filled with tiny planets, and those tiny planets house tiny lifeforms. It appears in issue 9.
At first glance, the Tiny Galaxy looks like it is very far away, but that's of course only because it's so tiny. Zim first brought Dib to the Tiny Galaxy in issue 9 when Dib was interning for Zim under a disguise. Because he trusted his intern, Zim confided to Dib that he often comes to this place when he needs some Zim-time. It is a special place for Zim for when he wants to be alone and think about what it all means. Then he punches the tiny planets, causing mayhem for the tiny residents.
Zim, wanting to teach his intern his ways, encouraged Dib to do the same and harm one of the tiny planets. Dib wanted to keep up his facade as an intern, but didn't want to harm any of the local lifeforms. So Dib chose to step on a planet which was conveniently vacant, as all the lifeforms had left the planet to go to lunch. Zim was satisfied with his intern's destruction, and so they left the galaxy shortly after. The tiny lifeforms eventually returned to their tiny planet in their tiny spaceships, and were very disappointed to see what had happened to their planet.