I think there are multiple entrances to the Hellish Yard, maybe one for each Sin, three of them I can think of now.
Gluttony[]
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[]
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.
Wrath[]
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.