You and the turtles were just teleported by Leo's portal swords into a new dimension

Raph: "Ugh, Leo, what did you get us in now?!"

Leo: "I have no clue"

Mikey: "Umm where are we?"

Donnie: Scans the surroundings with his goggles "It seems to be a new world, which means new data!" He smiles brightly

Mikey: "Donnie this is serious!"