I hadn't seen the Never Ending story in a while, but from what I remember and can tell the Nothing represents what happens to fictional characters after they are no longer wanted and forgotten about. It's not death per se, since how many times have a character died simply to come back the next episode/issue? It's character death in our world. An example would be X-man/Nate Grey from Marvel. He was interesting at first, but afterwards fans lost interest and Marvel decided to ax off the character, leaving him nothing more but a memory to devout comic fans.
Another example would be original Beyonder and Molecule Man. They retconned those two into cosmic cubes, then Beyonder into a inhuman mutant and I'm not sure what's happening with Owen. Saying the Secret Wars never happened, and a lot of people prefer to forget about them. So that's "the Nothing" at work.