As you may have heard, the asylum has a lighthouse on top of it, which reminded me of something... take a look
When Sebastian escapes the asylum first time, he finds the roads destroyed with a large crater blocking the path... its still modern though as police cars are flipped and destroyed in the background.
However, the art above shows Sebastian standing in a village that looks like out of the era ... and the asylum can be seen in the background.
Could it be that the asylum leads to different locations each time you open the door? The asylum would still be there even if you exit. So its might not be instant magical transportations through the locations.
Sorry for the bad spelling and grammer... writing from freind phone.