English is not my primary language, as such I have some difficult trying to understand the actual meaning of some place names.
Shadowfell is the place where "shadows (noun) fell (verb)", or is a place with creatures that are "shadow (adjective) and fell (adjective)", or even a place with creatures with a "shadow (adjective) fell (noun)"?
Underdark is place where people live "under the dark[ness]", or a place that is "under [the ground] and dark"?
I think I know understand enough to make concessions and come up with some more descriptive (and correct) terms for the main regions of D&D in Portuguese:
Feywild: Its a wilderness that inhabited by fey creatures, therefore: "Selva Feérica" (Fey wilderness).
Shadowfell: Its a fell (moor) that is shadowy, therefore: "Pântano Sombrio" (Shadow Swamp).
Underdark: Its a dark region thats below ground, therefore "Escuridão Inferior" (Under Darkness).
I could try make some wordplays, but I think it would be trading a more correct meaning and interpretation for some witty words that might looks like it means nothing. Also, portuguese if not very good on making composite words such as fey-wild, shadow-fell, or under-dark.
New definitions, more abstract and appropriate to planes or "worlds":
Feywild: It's magical, misterious, beauty, and somewhat dangerous, therefore: "Fascinação Feérica" (Fey Fascination);
Shadowfell: It's dangerous, dull, moor'y, cruel, and decaying, therefore: "Desolação Sombria" (Shadowy Desolation);
Underdark: It's dark, deep below the ground, and somewhat hellish, therefore: "Escuridão Profunda" (Deep Darkness).
UPDATE 3 (FINAL)
New definitions, more literal and keeping in line with the same english style (compound name made of adjective-adjective):
Feywild: "Feérico-selvagem" (fey-wild);
Shadowfell: "Sombrio-desolado" (shadow-desolate);
Underdark: "Profundo-escuro" (deep-dark).
Using this last schema allow for some wordplay since I have two adjectives any of them might take the part of being a noun. Also, is allow for other place names to follow the same "rule", eg Feydark/Feérico-escuro.