It sounds like the Valyrian Freehold expanded up the coast from Slaver's Bay, establishing numerous colony-states along the coast (the western-most of which is Volantis). During the Bleeding Years, after Valyria fell, most of these settlements were destroyed. Then the Dothraki arose and this coastal stretch is open to their armies (apparently Volantis lies only along the western side of the Rhoyne, since the Dothraki can reach the eastern side quite easily), leaving the area uninhabited or only lightly inhabited.

The distance between the two regions is unclear, but the existing books suggests it's a reasonably large distance. Lhazar, on the eastern side of Slaver's Bay, is south-east of Vaes Dothrak, which is a considerable distance east of the coast (but apparently more maps are forthcoming in the TV series which will make Vaes Dothrak's location more apparent).