From Muppet Wiki

The Yellow Brick Road, the fabled thoroughfare that leads from Munchkinland to The Emerald City in the land of Oz, was featured in The Muppets' Wizard of Oz. According to ABC promos, the road can also lead to Wisteria Lane.

Unlike the representations of the Yellow Brick Road in most Wizard of Oz movies, the one in The Muppets' Wizard of Oz also featured yellow brick walls, a convenient way of hiding the Muppet performers.