The Frontier is the area of space beyond the edge of the League of 20,000 Planets, and outside the direct reach of the Divine Order. To prevent vessels from fleeing into the Frontier, the Divine Order has constructed and maintains a number of Frontier Outposts that challenge all outgoing vessels for their security code, with any vessel passing without authorisation triggering the activation of the outer rim minefield, and their subsequent destruction.
In Lexx 1.1 "I Worship His Shadow", after stealing the Lexx, Stan, Zev, and Giggerota attempt to flee into the Frontier. There they are challenged by the operator of Frontier Outpost 65798-4-8, and upon failing to give the access code, they instead decide to order the Lexx to destroy the outpost.
Though not directly specified, it is assumed that in season 2 of Lexx that all events take place beyond the Frontier, as all life within the League of 20,000 Planets has by that point been destroyed as a result of the Cleansing.