While in Pokémon Sun & Moon you could travel to one area of Ultra Space, Pokémon Ultra Sun & Ultra Moon has changed it up by allowing you to ride on Solgaleo or Lunala to fully explore various areas in Ultra Space. Each Ultra Beast has got its own world to explore to find the Ultra Beasts themselves.
Ultra Megalopolis is an area you can find through the Ultra Wormholes. This land is home of the Ultra Recon Squad and is a land where Necrozma had stolen all the light. At the end of the area of Ultra Megalopolis is a tower where you end up with Necrozma in the game's story