The City of R'Lyeh is a fictional city created by cosmic horror author H.P. Lovecraft and appearing in his short story "The Call of Cthulhu" (1928). R'lyeh is a sunken city in the South Pacific and the prison of the entity called Cthulhu. Both the city and the entity are parodied in the Superheroes saga.
It is regarded as a holy place by the followers of the Cult of Cthulhu and the Goth Kids. It appears in the Superheroes saga as an alternate dimension accessed through a portal in the Gulf of Mexico. The dimension is full of monsters and is the home of the ancient deity, Cthulhu. Eric Cartman banished his friends here, but Bradley Biggle saved them.
It is most likely that the City of R'Lyeh has something to do with Kenny McCormick and his immortality, since Kenny (as Mysterion) said: "It feels like I've been here before." Notably, Kenny was able to escape from this place by committing suicide, following which he was reborn on Earth.