For a given Lipschitz domain $Omega$, it is a classical result that the trace space of $W^{1,p}(Omega)$ is $W^{1-1/p,p}(partialOmega)$, namely any $W^{1,p}(Omega)$ function has a well-defined $W^{1-1/p,p}(partialOmega)$ trace on its codimension-1 boundary $partialOmega$ and any $W^{1-1/p,p}(partialOmega)$ function on $partialOmega$ can be extended to a $W^{1,p}(Omega)$ function. Recently, Dyda and Kassmann (2019) characterize the trace space for nonlocal Dirichlet problems involving integrodifferential operators with infinite interaction ranges, where the boundary datum is provided on the whole complement of the given domain $mathbb{R}^dbackslashOmega$. In this work, we study function spaces for nonlocal Dirichlet problems with a finite range of nonlocal interactions, which naturally serves a bridging role between the classical local PDE problem and the nonlocal problem with infinite interaction ranges. For these nonlocal Dirichlet problems, the boundary conditions are normally imposed on a region with finite thickness volume which lies outside of the domain. We introduce a function space on the volumetric boundary region that serves as a trace space for these nonlocal problems and study the related extension results. Moreover, we discuss the consistency of the new nonlocal trace space with the classical $W^{1-1/p,p}(partialOmega)$ space as the size of nonlocal interaction tends to zero. In making this connection, we conduct an investigation on the relations between nonlocal interactions on a larger domain and the induced interactions on its subdomain. The various forms of trace, embedding and extension theorems may then be viewed as consequences in different scaling limits.