Before his long period of amnesia on Earth, Corwin spent much of his time as lord of a shadow called Avalon. I think the first reference to this is in Nine Princes in Amber, when Bleys says:
"It is rumored that you once commanded troops. Where are they?”
I turned away from him. “They are no more,” I said. “I am certain.”
“Could you not find a Shadow of your Shadow?”
“I don't want to try,” I said. “I'm sorry.”
At the end of the book, however, he decides to seek it after all:
I had set sail for a land near as sparkling as Amber itself, an almost immortal place, a place that did not really exist, not any longer. It was a place which had vanished into Chaos ages ago, but of which a Shadow must somewhere survive.
The shadow isn't named until the second book, The Guns of Avalon. In that book, Corwin quotes a song he wrote:
"Beyond the River of the Blessed, there we sat down, yea, we wept, when we remembered Avalon. Our swords were shattered in our hands and we hung our shields on the oak tree. The silver towers were fallen, into a sea of blood. How many miles to Avalon? None, I say, and all. The silver towers are fallen.' "
So: Is it indicated anywhere just what happened to Avalon?