It's worth popping over the British Library site to have a closer look at the saga, since, of course, most of us won't be able to make it there in person. The work involved is intricate and detailed. The sisters, particularly, and their brother were quite passionate about world building.
Such activity isn't new. One of my favourite examples is in Anne of Windy Poplars (1936). It isn't really fan fiction, unless you argue that all fairy stories are in some way fan fiction (that in itself isn't a bad argument - the fans involved are simply enthusiastic readers who in turn begin to write).
Anne: "One stormy evening when the wind was howling along Spook's Lane, we couldn't go for a walk, so we came up to my room and drew a map of fairyland. Elizabeth sat on my blue doughnut cushion to make her higher, and looked like a serious little gnome as she bent over the map. (By the way, no phonetic spelling for me! 'Gnome' is far eerier and fairy-er than 'nome.')
"Our map isn't completed yet . . . every day we think of something more to go in it. Last night we located the house of the Witch of the Snow and drew a triple hill, covered completely with wild cherry trees in bloom, behind it. (By the way, I want some wild cherry trees near our house of dreams, Gilbert.) Of course we have a Tomorrow on the map . . . located east of Today and west of Yesterday . . . and we have no end of 'times' in fairyland. Spring-time, long time, short time, new-moon time, good-night time, next time . . . but no last time, because that is too sad a time for fairyland; old time, young time . . . because if there is an old time there ought to be a young time, too; mountain time . . . because that has such a fascinating sound; night-time and day-time . . . but no bed-time or school-time; Christmas-time; no only time, because that also is too sad . . . but lost time, because it is so nice to find it; some time, good time, fast time, slow time, half-past kissing-time, going-home time, and time immemorial . . . which is one of the most beautiful phrases in the world. And we have cunning little red arrows everywhere, pointing to the different 'times.' I know Rebecca Dew thinks I'm quite childish. But, oh, Gilbert, don't let's ever grow too old and wise . . . no, not too old and silly for fairyland."