This happened to me too so I dug into it. See Apple docs on Airplay Discovery https://support.apple.com/guide/deployment-reference-macos/airplay-discovery-apd19d206cc7/1/web/1.0
I'll refer to a neighbor's device as an "alien" device to emphasize you don't want to connect to it, and that it is not on your local network. (It could broadcast a public address, but that's not what is concerning people here.)
The alien device broadcasts its IP by Bonjour, peer-to-peer, or Bluetooth. Assuming your network is even moderately secure, the Mac isn't getting the alien address via Bonjour. Perhaps your Mac is getting the IP by peer-to-peer wifi but most likely your Mac is getting the alien IP via Bluetooth.
You could turn off Bluetooth to avoid this but some need it on. I see no way on the Mac to say to ignore these broadcasts except for particular networks or to disable AirPlay discovery.
Once your Mac gets the alien device's IP address, your Mac tries to reach out over its regular network (wireless or wired) to the IP. If it can't get there (because it is on a private address different than yours), no harm (except that Little Snitch noticed it).
Even if the alien device broadcasts an IP that you can get to, suppose even the same IP as your real Airplay speakers/TV use, I understand the AES encoding of Airplay basically requires a pre-shared key. Unless you've set that up, it won't talk to them. If you did set it up, then your Mac already knows about your particular speakers/TV and there is no harm with it finding them again.
As for the case that you can get to the alien device via a public IP. If it doesn't have the right pre-shared key, the Airplay AES encoding will keep the alien device from understanding what you send it.
It was scary to me to see this alien network show up, but it seems that this doesn't represent anything more serious than unnecessary alarms. Tell Little Snitch to silently block anything not on your local nets.