Synthetic dimension has emerged as an attractive concept to explore higher-dimensional physics, yet they are usually formed by Hermitian degrees of freedom. Here, we establish a new platform of non-Hermitian synthetic dimension with unprecedented flexibility to investigate the non-Hermitian Weyl physics. The interface modes between two Weyl media of different non-Hermitian topological structures (i.e., Weyl point and Weyl exceptional ring) are explored. Specifically, we construct a spatially modulated silicon waveguide array with well-controlled chromium deposition, creating the non-Hermitian synthetic dimension, where the interface states induced by imaginary mass inversion are predicted and observed in integrated photonic experiments. Besides, it is found that the interface states can also appear with the shift/deformation along non-Hermitian synthetic dimensions according to the phase transition crossing the Weyl exceptional ring. Our work connects the concept of synthetic dimension with the non-Hermitian scope, which remarkably enriches the physics of topological states as well as phase transitions, and implies potentials in chip-scale photonics manipulations.