An “orbital” is how we describe the various energy levels of electrons around an atom. The discovery that there are only certain specific energy levels available (quanta) instead of a continuum established the concept of orbitals, although we now use “electron clouds” to show the probability of an electron position instead of the old circular Bohr nuclear model.
The gaps between orbitals are really just the difference between the energies of the orbitals. There is nothing in them. Even when an electron is “excited” to a higher energy level, or “relaxes” to a lower one, we don’t really know if the electron is physically in that space. If it is, it is only for that extremely short transition time. Otherwise, the space between atomic orbitals is empty.