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The first thing I'd like to mention is that if I had to give the Mario franchise a proper send-off, I'd make a massive hardware-straining game that incorporates references, locations, items, characters, enemies and who-knows-what else from every Mario game ever made. It would have a graphical style somewhere between SMG and SSBB and the plot would be about Bowser gathering up an army consisting of all of Mario's previous villains in an attempt to get revenge for how-ever-many years of failure. Luigi, Yoshi, Peach, Toad and Wario would be playable. The world would be completely open-ended and feature even the most obscure locations such as Sub-Con and Mario Land. Mario would finally be able to use every power-up he's ever had access to in full 3D. Characters like Pauline and Wanda from Mario & Wario would have cameo appearances. This game would likely never get made, but the Mario franchise would likely not end any time soon.
The funniest thing about all the world-building and depth the RPGs maintain is that it's all done in jest. Things like that block university always came off as an affectionate spoof of continuity hogging, and in Mario's world, that's probably the perfect way to go about it.
The geography is never consistent simply for the sake of gameplay. However, it's not like they never refer to previous areas in newer games. Dry Dry Desert is implied to be the same place as Kalamari Desert (both are called "Kara Kara Desert" in Japan) and even features the same (or at least a similar) choo-choo train. The opening stage of SMG2 is a recreation of the first stage of SMB1. That's about all the consistency I need.
SMS was pretty much the only mainline Mario game to do such a thing. The RPGs also usually do that but they're kinda limited by RPG-style perspectives and geometries (M&L is from an overhead perspective and everything is all block-shaped). Super Mario Galaxy doesn't have to worry about this because it's set in outer space amidst a bunch of lost satellites.
SMG basically answered the question of how Mario's world was made. The RPGs have loads of explanation behind various inner-workings, even if those are mostly self-contained within the areas those games take place in. Still, it's really that hard to imagine for oneself how the Mushroom Kingdom works based on it's appearance in SMRPG and PM1. I always though Mushroom City was their Manhattan, and the businesses that exist there could be found simply by looking into the background or what-have-you (remember the Wiggler bus or the Goomba chocolate truck?)