These are the labyrinthine prisons the Lady of Pain creates for her enemies, spun from parts of the city, individually tailored, and dropped in the infinity of the Ethereal Plane.
More broadly, the phrase has entered Sigilian Cant to mean any well-deserved punishment, as in, "If you don't eat your vegetables it'll be the Mazes for you, and nobody's going to try to rescue a bratty child who won't eat lima beans."
See also mazed.
Source: The Planewalker's Handbook, A Guide to the Ethereal Plane
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