As far as I have understood, the idea of Gyangunj, a la Shangri La or a city of immortals somewhere in Tibet or the Himalayan gorges, is either referring to a plane of consciousness, which it most probably is or else a possibility of the future which is yet to be realised. Quite a few scriptures speak about an ideal city where death and sorrow do not exist. The Christian mystics knew it and termed it as the city of delight. Sikh scriptures call it as Begumpura, literally meaning the city where there is no sorrow. There is also the mention of an eternal Vrindavan where all beings live in perfect harmony and delight. Looking at the various descriptions it seems like an actual plane where such a life and beings do exist. Sri Aurobindo also refers to the plane of the Gods as also to the Supramental world that is revealed in great detail in Savitri. In fact one of His major work or mission is to bring down and establish this Ideal World here upon earth. The Ashram and later Auroville itself is an attempt to establish such a world amidst our humanity.
However looking at the facts as they are it is very doubtful if such a city exists materially. Even if it does it is surely not in communication with the world at large and hence it usefulness to the collective progress of mankind becomes a limited one. Knowing this fact Sri Aurobindo and the Mother attempted their grand divine experiment right in the heart of humanity. But they also knew that the kingdom of Heaven must be first established within our hearts before it can manifest materially. That is where probably the unique experiment of the New world, the Supramental world stands. It is here right by our sides lining the outer world as we know and experience. But for it to manifest fully upon earth mankind must be ready. The main requirement for this being that the reign of ego must completely end and in its place all in our individual and collective life be governed by the Divine Consciousness.
As to whether Sri Aurobindo said something about it, the closest that it comes is when He was asked about some Mahatmas in Tibet and Himalayas helping his work. He mentioned in a way characteristic of him that he is not aware of any such beings who may be existing upon earth or helping him in this work.