I think there are multiple entrances to the Hellish Yard, maybe one for each Sin, three of them I can think of now.
I think Gluttony's entrance is the Master of the Graveyard's stomach. When she eats you, your body gets digested and you soul gets sent to the Hellish Yard
Pride's entrance might be the Four Mirrors of Lucifenia. The demons can travel from mirror to mirror, I bet the travel through the Hellish Yard to get to the next mirror.
Now this one is obvious, this entrance is the main entrance, the Gate to the Hellish Yard. The Golden Key should be able to lock and unlock the gate too.