Complete the indicated task in Scenario Campaign mode to unlock the corresponding stage.

Subterranean Pavilion: Complete 16th Archaeological Expedition's Excavation Site under the Hard difficulty.
Kigan Island: In Abyss Gate under the Hard difficulty, defeat a man with straw hat, take his items, then exit to the world map.
Nightmare Train: Complete Azazel's Temple, Central Corridor. Alternately, play through the Campaign mode to very end. After the final fight and credits roll, a new stage will open up with the Nightmare Train. Note: The Nightmare Train is a never ending survival mode. This object is to drop items to be used on your characters in Campaign mode.