I would be confused as well. I have always read/heard that purgatory is connected to heaven - not hell. There is no escape from hell - none. Purgatory is for those who are going to heaven, but need a little (or a lot) of cleaning up first. Nothing unclean can enter heaven.
Pax!
My understanding, and it may be wrong, is this:
Before the Christ took death upon himself and entered Hades, the souls of all men descended there. They either rested, like the soul of Lazarus, or were tormented, like the rich man. However, there was a great chasm between them. They were separated from the Beatific Vision.
When Christ gained the keys to Hades, the righteous dead were able to enter into the Beatific Vision. The unrighteous dead stayed in Hades in torment. At the Final Judgement, they will be cast into the Lake of Fire.
When a Christian dies with sins upon his soul, but they are mortal, he descends to Hades like all the dead. There, he suffers the just torments for his sins until he is repentant, purified, and holy, aided by the prayers of the Church Militant and the Church Triumphant. Upon final purification, the soul ascends to heaven.
Hence, I view Purgatory as being connected to Hades. However, I would also view Hades as being connected to Heaven, as Christ entered Hades and led the righteous dead to the glory of the Father.
As for the fate of unbaptized infants, who have no personal sin of their own, I would speculate this: They are separated from God due to original sin. However, having no sins of their own, there is no torment for them to suffer. To a child born to Christian parents, or who would have been born to Christian parents, the implicit desire for baptism and faith in God were there, supplied by the parents. Hence, I believe that the child would receive a baptism of desire and immediately enter into God’s presence upon death.
In the case of infants born to or who would have been born to non-Christian parents, I do not see any option for their release from original sin except the mercy of God. An Orthodox prayer I love says that the intercessions of the Mother of God are enough to save even the greatest of sinners who has been cast into the depths of Hell. Again, I entrust them to the mercy of God. However, Hades will be cast into the Lake of Fire. As I understand it,
Limbus infantum cannot last beyond the Final Judgment.
This post does not have a nihil obstat or an imprimatur. I am but a new Catholic whose understanding of the faith is severely limited. However, what I posted above is what I understand to be the basic view of the Fathers and the Apostles.