Off-world refers to the Earth's Orbital Space and also other planets, such as Mars, Kalanthia and Arcadia 234. Many locations in Off-world have been colonized and they are the homes of many humans as well as androids and replicants.
Years after the results from "World War Terminus", the United Nations encouraged people to emigrate to Off-world colonies to preserve the human race from the effects of the radioactive dust. Incentives for human leaving Earth have been promoted aggressively with advertising extolling the adventure and opportunities awaiting them if they leave, as well as promises of financial and personal incentives (for example, all colonists are promised a free android/replicant for their personal use).
Life in Off-world
The actual conditions on these colonies are never shown in the original film, but the setting hints that the situation off-world is not as rosy as the advertisements claim. The Replicants are designed to survive dangerous and harsh labor and environments. Roy was designed specifically for use as a soldier, recalling the battles he fought off-world, and it appears that all three other of the escaped Replicants had considerable combat training.
Zhora was described as having been a member of a kick-murder-squad. Finally, there is intensity of the marketing campaign itself; although the Los Angeles of 2019 is a miserable dystopia, its population still apparently requires aggressive promotion and considerable financial incentives to leave for these supposed paradises.
In the opening prologue, we are told that the Replicant's have been limited to off-world colonies after a bloody uprising, and any that return to earth will be hunted down by Blade Runners and "retired," or exterminated.