Exactly, and in Bayonetta Purgatorio is the place where Bayo primarily fights enemies. I remember Rodin would go to Inferno to get weapons forged for you in Bayonetta, too. Paradiso...I can't remember if you go there >.<
As a sidenote, I loved the concept that in the Divine Comedy Inferno was a pit and Purgatory was a mountain, and that the pit and mountain were formed when Lucifer fell to earth. So, Hell was basically a really deep hole Lucifer made when he fell from Heaven all Loony Tunes-style, and the mountain of Purgatory is the resultant earth displaced by the pit's formation, protruding from the planet on the exact other side of the world from Hell
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Dante was damn creative, haha.