Shadow Hearts: From the New World Cheats

To unlock the secret dungeon Purgatory have every single enemy besides the ones in Purgatory Snapped. Then head to Chicago and speak to the Snap Master there. He will give you a Item. Go to where you get Johnny's Awaker form(Saying this to avoid spoilers). Enter the room with the fireplace and inside here examine the emblem above the fireplace to be warped to Purgatory.