The one about the headless woman? I couldn't get it either, I think it's a hint that relies on knowledge of Japanese culture. It probably references the
Ghost Leg lottery game if I had to take a guess.
But regardless, the answer is to take every single turn as you go forward. It should result in you going up to the top of the room, to the bottom, then up again, before resulting in you going through the second to the top entryway. The treasure chest is received by doing the exact same thing from the right side towards the left. I highly recommend getting that chest. It gets you equipment that makes Fio considerably stronger and unlocks a Fio tickling scene.