Elisabeth: In the chapter of Kings Cross, are they behind the veil or
in some world between the real world and the veil?
J.K. Rowling: You
can make up your own mind on this, but I think that Harry entered a
kind of limbo between life and death.
According to Rowling Harry enters a form of limbo between life and death, and according to the "Dumbledore" Harry finds in this limbo Harry can choose whether to move on or to return.
‘I’ve got to go back, haven’t I?’
‘That is up to you.’
‘I’ve got a choice?’
‘Oh yes.’ Dumbledore smiled at him. ‘We are in King’s Cross,
you say? I think that if you decided not to go back, you would be
able to ... let’s say ... board a train.’
‘And where would it take me?’
‘On,’ said Dumbledore simply.
This strongly leads me to believe that Harry's soul was still attached, if not fully to his body, while "death" is when the soul is removed from the body completely.
‘Without meaning to, as you now know, Lord Voldemort
doubled the bond between you when he returned to a human
form. A part of his soul was still attached to yours, and, thinking
to strengthen himself, he took a part of your mother’s sacrifice
into himself. If he could only have understood the precise and
terrible power of that sacrifice, he would not, perhaps, have
dared to touch your blood ... but then, if he had been able to
understand, he could not be Lord Voldemort, and might never
have murdered at all.
I think we can say that Voldemort himself by taking Harry's blood could have been the anchor needed to keep Harry from fully moving on. (though this part is semi-speculation)