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
Dante was damn creative, haha.