The Underworld is a vital location inMaximo: Ghosts to Glory. Grim is the only individual implied to have jurisdiction over its inhabitants, and it is where it apparently is his job to send the dead. This may imply that he is the employee of a higher being who has some interest in having the dead preside there. It is explained that this is where human souls are harvested from in order to create Achille's undead army. It is also a stage in which Maximo must enter to rescue a friend later in the game.
As it is in the same universe as Ghosts 'n Goblins, it may be tied in some unexplained way with the Demon Realm , where undead naturally preside.