That's the whole point: no one knows!
That's what gives meaning to Arya as an adventurer and her new journey to the west.
Although it's unclear what happens if nothing's in the west of Westeros and what's gonna happen to her and the ship crew.
She even once had this conversation in Season 6 Episode 8:
Arya:
Essos is east and Westeros is west.
But what's west of Westeros?
Lady Crane: I don't know.
Arya: Nobody does.
It's where all the maps stop.
Lady Crane: The edge of the world, maybe.
Arya: I'd like to see that.
EDIT:
it also can be a metaphor for freedom .
Arya always was willing to be free of titles and she finally found her redemption.
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If you look at a map of the Game of Thrones world, there's a distinct parallel to Medieval Europe.
Westeros is Great Britain, and Essos is a combination of Europe, Western Asia, and Northern Africa.
So it would be reasonable to assume that when Arya goes West of Westeros, she will eventually find the GOT equivalent of the North American continent - The New World.
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We do know that aside from the Sunset Sea, there are 3 islands - Ageon, Rhaenys and Visenya - that were discovered by Elissa of House Farman 56 years after Aegon's conquest.
Beyond that is speculation, however her ship was discovered later in Asshai, (from the Targaryen history "Fire and Blood")
so there is some evidence that there IS a water-borne path between Westeros and Essos (and showing the world to be round, not just by folklore but via scientific proof).
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The sunset sea.
In this image, the red mass of land is Westeros.
Grandmaesters and archmaesters have speculated over what lies west of the Sunset Sea, but there is no concrete proof of anything.
You can read about this here
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Presumably, some analog of North America: Westeros is an analog of the British Isles, and Essos is an analog of Eurasia, including the steppes (the Grass Sea)
Arya is channeling her inner Nymeria , who sailed West from Essos to escape oppression and founded Dorne.
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In  Game of Thrones  S08E06 Arya is going west of Westeros. But do we ever have any hints what is lying there to the west of Westeros?  Did it ever get mentioned before in the show or books or any other extended material?  Is there any hints or rumor about the place beyond Westeros?
What is to the west of Westeros?
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movies.stackexchange.com/users/1190/Ankit Sharma
 That's the whole point:  no one knows!  If you look at a map of the Game of Thrones world, there's a distinct parallel to Medieval Europe. Westeros is Great Britain, and Essos is a combination of Europe, Western Asia, and Northern Africa.   Westeros is made up of Great Britain, Europe, and the Middle East, and Northern Africa.
 Medieval Europe also appears in the map as a distinct similarity. Westeros is made up of Great Britain, Europe, and the Middle East, and Northern Africa.