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Okay, so my official lore analysis that this is in no way actually based on lore and is just a fun little song that's Halloween-like in nature. That being said, you could probably dig something up out of it, although it would probably be making a mountain out of a mole hill.
Maybe this is the initiation rite of a HoloXer. You join and have to go through a mansion to prove you have what it takes. While inside, you have to endure the various tricks and traps throughout the rooms (of which there are tons and of different natures). Once you make it through to the end, you've passed the test and get invited to join them (which is why Gozaru says to join in) and then you prepare to voyage out from the location with HoloX across the sea.