Pretty much this. The time between the end of the Old World and the Age of Myth has no name. It's literally not covered. The AoS timeline begins with Sigmar's awakening, thousands and thousands of years later. The time after that becomes the Age of Myth, now long forgotten by most people. The Age of Myth ends when Chaos takes control of the allpoints, now the Eightpoints (and home of Archaon's Throneroom), ushering in the Age of Chaos. The Gates of Azyr covers the exact moment the Age of Chaos ends, and the Age of Sigmar begins.
It's meant to be mythological, unexplained and mysterious. If you'd like a little more meat on the bone, you'll need to get the "Age of Unending War" book, the very first large hardback campaign-style book.