Magical panel (trap door)
In the munchkinland scene, the Wicked Witch of the West disappears in a puff of pink smoke. Remember the exact spot where she vanished. Other times when that area is shown, you can see a square panel about large enough for a person to fit through.
In 1939 when this movie was made, there were no computer aided special effects. Margaret Hamilton (witch of the west) disappeared through a trap door as the cloud of red smoke was released. Unfortunately, the fire effect was set off a few seconds too early - before she was out of the area- and set her witch's costume on fire, which stagehands quickly extinguished.