Megami Ibunroku Persona: Iku no Tou-hen (2006)

After the battle in the SEBEC building, the DEVA System transports the protagonist's party into a parallel world. The protagonist, Maki Sonomura, and Mark awaken to discover they've been separated from the others. However, Igor and the Velvet Room are connected to this space, as well. According to Igor, in order to escape this alternate dimension, they will need to gather an orb and their companions and travel to the top of the tower to operate the space transition device. They encounter a girl who is also trying to escape using the device at the top of the tower. They travel with her as they climb up the tower and reunite with their friends.