a level can both contain one single location or many locations. you can also load levels additively (so multiple levels will became one level). so you can move your player character to a completely new level, or you can teleport the player to a different section of a level. for this second option you can have one big level with lots of rooms or load them at runtime as needed. 
start by downloading this free project created by unreal which has examples of what unreal can do, you can study the blueprints see how they did it.