I was watching casitive's lore through series (criminally underwatched) and she kept making the point over and over that Dark Souls 2 taught us that Ashes are memories.
In Dark Souls 2 we can enter memories of the past by using the Ashen Mist Heart at the location of fallen giants throughout the Forest of the Fallen Giants, a dragons memory in Brightstone Cove, and even Vendrick's own memory near his discarded clothing once we obtain his crown, and into the Old Iron Kings memory, again once we obtain his crown (more on crowns later).
By doing so we are able to enter into versions of the past. These worlds are just as "real" as the rest of the game, if you die there you return to the last bonfire, but these world are fleeting for us.
Additionally, throughout the game we find umbral ashes which we can give to the Shrine Handmaid that allows her to give us access to items related to those various ashes. These ashes can also be obtained by killing, or discovering the bodies of, unkindled ash NPC's we meet throughout the game.
There are 4 Lords of Cinder in the game, each consumed by fire.
Each made ash.
Each of them has "returned" to the world from which they came…but is it the actual world, or just a memory of ash?
I think we have hand waved away the title of the 2nd DLC, when really it was staring us in the face the whole time. It is not the painting of Ariandel. It is Ashes of Ariandel. We are brought there to burn the painting, to reduce it to ash, to make it just a memory and no longer a physical place.
Within that world, there is a painter who uses the blood of the dark soul of man to paint a new world, not for the first time as we have been to painted worlds before. The world is made of the blood of "undying" kings.
The Crucifix of the Mad King reads "Once, a mad king was born to the pygmy royalty and Shira, knight of Filianore, put him to rest. But Shira's cross spear, unable to kill the undying king, only pinned itself to him. Shira delivered them together to the darkroom, where she stayed and held them close."
The Ashen Mist Heart allows us to enter the memories of the powerful dead, but those worlds are temporary for us. However the blood of the dark soul of man, blood of the undying pygmy kings, appears to make worlds that last until they are burned to ash or rot away.
Much like the dead from which it is made, the painted can be burned and kept as a memory…or it will rot.
Oceiros, the Consumed King is obsessed with becoming a dragon, perhaps because dragons are immortal. His sons have somehow become immortal themselves, unable to die unless both are slain…but weakened by the process. This seems to parallel the twin Demons, but that is a whole other lore post…what matters is the twin princes are in Lothric Tower, separated from the other worlds of the various Lords of Cinder unless transported by the Gargoyle Demons…just as Anor Londo was separated from Lothric.
I propose that Anor Londo, both in the original Dark Souls and in Dark Souls 3 are memories of what they once were, made of ashes and made permanent by sinister magic (more on this later) but not "real". The first was made by Gwyndolin, the second I suspect by Yorshka after she was brought from the painting by Sulyvahn. I propose Yorshka was what came from a later painting that harkened back to Priscilla, and that she, guided by Sulyvahn created the Anor Londo we find that Aldrich was lured to.
I propose that each of the keepers of the Lord Souls conquered a "world" with that power. That Nito died first, and his ashes became his domain deep underground. The Witch of Izalith, attempting to create a world using her power, instead created and released chaos and demons.
And Gwyn used his daughter and the help of Crystal Magic from Seath to make the Ringed City "real". A memory held together until we break the egg/transposing kiln and the memory can no longer hold, in exchange for a slave army he used to fight the Dragons. And when this failed, he sacrificed himself to become a Lord of Cinder, his ashes being used to create the Illusion of Anor Londo we discover, a memory of a time before the fall created by Gwyndolin, likely with help from Seath.
The pygmy kings, who could not die even as the world around them ceased to hold together, we left to be hunted and slaughtered for their dark souls by Gael, both in service to his lady to create a new world, and in vengeance for the original betrayal of the Pygmy Kings.
Yuria and her sisters, as well as Pontiff Sulyvahn, each for their own reasons seek to stop us from ending this world, making it a memory of ash and clearing the way for a new world. And only the Firekeepers, who live outside of the transitions but are also the transitions between them, can "see" all of this, if given the eyes.
The Crown of Gwyn reads "Lord Gwyn, bearer of the ultimate soul, divided that power among his great clan before linking the flame. But he did keep his crown, perhaps to preserve a symbol of the monarch, for its actual power had fully subsided."
The crowns in Dark Souls allow us to enter the memories of kings and in Dark Souls 2 there are 4 crowns for four kings, each connected in a way to the four old ones, who themselves are connected to the Four Lord Souls.
Lord Souls give great power, and "steep" those who hold them in even greater power as they conquer and rule. But in the end, they are are made ash or rot away…both returning them to nature and leaving the souls to be found…or taken. I suspect either a Lord Soul or crown, which was functionally a Lord Soul was what Vendrick took from the Giants.
So to sum up, tl;dr When those who link the flame/hold Lord Souls die, there ashes are so powerful that they can recreate worlds in the way we were able to return to Giant Memories in DS2.