I like that quote, not least as it means I don't have to go and get me coat.
But it also explains a lot - it's an imaginary past, like the past where you might have found the glittering towers of Camelot.
Tolkien also pinpoints it to having the essential of North West Europe. Does that include Valinor? Is it Ireland or Lyonesse? Tolkien was tapping into the genus loci of a whole region.