Question

what does the third level refer to?is it a medium or a way of getting away from the unpleasant normal life

Answer 1

This is what the author left for the imagination of the readers. We can go with both the possibilities eg avoiding life and just going through life with the "negative fantasies", or maybe the author of taking about a parallel reality.

In our times, the second interpretation was thought not practicable but it sure is now

Answer 2

Answer: The third level refers to an additional floor at the Grand Central Station which originally only had two levels. It is a medium of escape through which man yearns to be away from life’s harsh realities. Modern life is devoid of peace and tranquility, so man, in his request to seek solace, escapes to a place where his aim is to seek the realization of his dreams and unfulfilled wishes of his subconscious mind.