I have heard about Vaikuntha for Vishnu etc.. Does devi Lalita and Lord Shiva have separate regions/lokas outside this mortal world? What is the name?
The abode of Sri Devi is known as Mani Dvipa. Wikipedia states:
In the Devi Bhagavatam, Manidweepa portrayed as the Sarvaloka superior to Kailasa, Vaikunta and Goloka. Devi Bhuvaneshvari/Tripurasundari is the Empress of Manidvipa. At the beginning of the creation, Devi Adi Parashakti-Mahakali created this island.
Quoting from the book "Essence of Devi Bhagavatam":
Being far superior to Kailasa, Vaikuntha and Goloka, the Sarvaloka or Mani Dvipa is the residence of Devi Bhagavati in whom the entire Creation rests! Indeed She resides everywhere and anywhere but notionally at Mani Dvipa and the description is transcripted in detail by Maharshi Veda Vyasa apparenly for the consumption of mortals to carry conviction into their consciousness. Surrounded by ‘Sudha Sagara’ ( The Ocean of Nectar), Manidvipa has a strong iron enclosure of several Yojanas far and wide with four gates well guarded by Devas and Devis. Within the First Enclosure, there is an Enlosure of white metal made of an amalgam of zinc and tin/copper which touches Heavens and is hundred times higher than the walls of the outer Enclosure.This Enclosure is interspersed with gardens and forests with a wide range of trees and plants, flowers with intoxicating fragrances, luscious fruits along with streams of fruit juices and gregarious animals and birds of staggering variety. The third Enclosure is made of copper with a height of seven yojanas comprising several ‘Kalpavrikshas’, with golden leaves/ flowers and fruits yielding gems, fulfilling desires of any imagination.The King of the Gardens along with the wives Madhu Sri and Madhava Sri maintains an excellent Spring Season, where Gandharvas reside, rendering divinely songs and music. The Fourth Enclosure made of lead with its wall height is again seven yojanas and within the Enclosure are the Sanatanaka trees with flowers whose fragrance reaches as far as ten yojanas and fresh fruits providing sweet juices of great quality and its King with the two queens Sukra Sri and Sudha Sri always maintains enjoyble mild summer where Siddhas and Devas reside here
In this loka Lord Shiva (who is inseparable from Devi) also resides as Ardhanriswara.