I don't think the entirety of the Outside World is a wasteland, at the very end of the movie there is a shot of the castle and a blue sky as I recall. The part that Utena and Anthy are luge-ing through is more like the outskirts of Ohtori, filled with the remains of cars that didn't quite make it to the outside world (possibly including the Kozue car).

The outside world definitely exist IMO, but it is interesting to note that there isn't a lot of backstory given on how the cast all wind up at Ohtori in the first place, but also, none of them really seem to give it much thought, its only at the end of the film that anyone even makes note of their being a world outside of Ohtori. In some ways this parallels an underlying feeling that runs through the series, with Ohtori being described as a garden, which simultaneously nurtures and entraps those within it. If anything, I guess it almost feels to me like Ohtori is the less real of the two, as it mainly seems to serve as a coffin for the witch and the prince.

Its also interesting to note (he says, just having realized this now) that the end of the movie could be construed as having some rebirth imagery; Utena and Anthy plunge, naked, from veil of rose petals, running down a long road toward the bright sky in the last shot of the film. I think in this way the outside world exists as a representation of the freedom Anthy and Utena have just attained.

I think that's enough clumsy analysis on my part for now.