According to the in-game encyclopedia in Vandal Hearts: Flames of Judgment, the Astral World or Purgatory is 
"A metaphysical plane, within which the souls od dead sinners enter a period of atonement before being allowed to move on. As a side result of Project Vandal Heart, mortals now have a method of entering Purgatory prior to their deaths, with unknown results."
Vandal Hearts: Flames of Judgment occurs over 1000 years before the event in the first Vandal Hearts game. Like with everything else, in VH:FoJ people is still very religious and give everything equally religious names and explanations, unlike in the first game. That may be a reason why the Astral World got a name like "Purgatory" at first.