Relationship to the Twisting Nether
The demons from the Dark Below apparently exist apart from the Burning Legion, who reside in the Twisting Nether. The Dark Below may be another description for the "Twisting Nether", in which case these are demons of a separate faction that live within the same plane of existence. This would explain how player warlocks are able to summon demons that do not serve the Legion.
The "Below" in The Dark Below
This implies a region that is underneath the crust of Azeroth, and not the twisting Nether in outerspace up in the sky. In early conceptions, hell is percieved to be underneath and not up in the sky.
Speculation regarding Warcraft I
See: Hell retcon.