It's based on this:
https://www.mathsisfun.com/numbers/i...y-numbers.html
But in Nasuverse, imaginary numbers more specifically refers to either "that which exist, but does not manifest" or "that which cannot manifest, but does so anyway" (paraphrased here so might be slightly off).
It's what makes up the Far Side of the moon, it's what Sakura's magic is all about, and it's what Chaldea dives into during the LB chapters to get around the storm walls. More specifically, Chaldea enters Imaginary Number Space (PLEASE don't call this void space I swear to god), which as Comun said is effectively an alternate world, a (bunch of) pocket of space made up of imaginary numbers, wherein time flows differently and there's no native life and everything is in a state of like semi-quantum unobservability and so on.